Ok, thanks to Pat I will now explain something for all you people sitting behind restrictive Firewalls that don't want you to communicate with the outside :)
First of all: My guess would be that doing that stuff would be a reason for getting yourself fired because there usually is some security reason behind all that firewall stuff —> Don't do it!
And now to the fun part:JPG title=";01_default_putty.JPG">
First of all, you get yourself Putty
When starting it it will probably look something like this:
The first thing you do is entering the host name of a shell to connect to (universities often allow ssh access to their students, so do some webhosting providers):
Now go to the Tunneling Section of the SSH Tree:
In that part of putty, you'll now enter a local port (I just took 31337 because it looks cool ;D) and change the Destination to "Dynamic";
Now click the "Add Button";
and it should look something like this:
Next thing you do is clicking on the "Open"; Button at the bottom of putty.
Most probably, that window will pop up:
Klick "Yes"; (or in my case: "Ja";)
In the following window, just enter the username and password to your shell:
And you're done :D
Now you can tell every application you'd like to use the SSH Tunnel to simply use the SOCKS Proxy running on your localhost on port 31337 (in my case)