Basically, you want a firewall.
Internet-based proxy servers provide you with a certain amount of anonymity because they are on the internet and have lots of clients. A home-based firewall will still have an IP address assigned by your internet provider which may or may not be fixed, but certainly can be identified as a client of your particular provider and therefore at the very least someone can identify your region.
The home-based firewall will hide individual computers behind it, however, so anyone looking at your internet IP can not say which nor how many computers actually requested the information being provided to the firewall. The firewall can prevent hostile intrusions to your internal network, and depending on the features can also filter content, scan content for malware, provide 'Quality of Service' functions, even act as a file or mail server.
Many routers and particularly wireless routers provide basic firewall functions.
Personally, I use a firewall appliance built from a P4 and running Smoothwall Express 3.0
, which is a linux-based free firewall operating system.