For programs that are web browser based (ie. they use the http protocol via internet explorer) even if you don't get to see the browser's window, you MUST disable the JAVA engine (not javascript). All IPs are open wide if you open a website with such a java applet, no matter how anonymous your proxy is, or it's type.
That is why I only use Elite proxies.
In my opinion 99% of proxies will not protect you. If a big name company really wants your info they can just get the log from the proxy source. That is of course if they are keeping a log. I could be wrong but that's what I think anyway.