When using the internet (surfing and using external client applications), is it possible to make the receivers of that data think that I'm in another country?

I've tried using an IP from an anonymous servers list, and changing it through internet explorer seems ok, but how can ensure that any client applications I'm running which require internet connections are also using the anonymous server? I mean changing it through IE doesn't mean the actual internet connection is hidden or modified right?

Any help would be greatly appreciated.

Thanks.