you are correct, it does use a proxy. here's more information that i received in an email that i couldn't find on zone lab's website:
Anonymizer® Anonymous SurfingTM Protect Yourself from Identity Theft! Anonymous Surfing protects you and your family from online identity theft by keeping your IP address (and your identity) private. It also protects you from visiting phishing, pharming, or spyware sites by displaying a warning notification of the hidden dangers ahead. Anonymous Surfing offers peace of mind and is an excellent companion to antivirus, anti-spyware and firewall protection.
Anonymous SurfingTM
Anonymous Surfing hides your IP address so online snoops are unable to track the sites you visit and build profiles on your Internet activities. By redirecting your Web traffic through our secure servers, your online identity is protected whether you are at home, on the road or on a wireless network. These servers are armed with 128-bit Secure Sockets Layer (SSL) technology, similar to your bank - so you can rest easy knowing that you and your family are covered.
Key Features
* Safe online shopping, banking and tax filing
* Automatic alert of fraudulent sites
* Starts automatically when you turn on your PC
* Easy to use with the click of a button
* Secures the data you send over a wireless network
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