Go to http://tor.eff.org/download.html.en
and download the bundle which consists of Tor & Privoxy & Vidalia bundle: 0.1.1.26 (sig), 0.1.2.12-rc (sig).
Download it, and save it on your system. Next, run it and install it on your system. After you click 'finish' the white privoxy window will display. Theirs a lot more configuring to do so RTFM is what I recommend.