Very easy and handy is to use an SSH Server as Socks Proxy:
ssh -D 8080 username@my_ssh_server
Or use Putty:
Enter the IP Address of your SSH Server, Port and go to Connection -> SSH -> Tunnels.
In Source Port enter the Port where the Proxy should be available. I.e. 8080
Then choose "Dynamic".
Leave Destination Port Empty and the IP Configuration on "Auto".
After connecting to your SSH Server, you can configure i.e. Firefox to use your Socks 5 Server on IP 127.0.0.1 and Port 8080.