The proxy is in fact making the tracks for you. Urls are coded so there are no way to know what site was visited, so the tracks on your pc will be unusable.
So, from your computer, urls and cookies cannot be decrypted. Easily, at least.
But be careful, on your pc can be seen the encrypted links, that could be an evidence of proxy usage.
So what is your advice?
Still make sure to erase cookies, temporary files and navigation links. There are several freeware or shareware doing this efficiently. this is still a must, even if you use a proxy.
