SOCKS (RFC 1928) is a protocol that can be, as said in the RFC itself, used for firewall traversal, or some other types of network blocking.
If you have a remote server that you can SSH to, setting up a SOCKS connection is dead simple:
ssh -D [port] [host]
where [host] is the host name you specified in the SSH config
file.
How to get your software to direct its connection through this proxy depends on
the program. For example, in Firefox, you have to go to the setting and set it
in the network settings—use your server’s address and the port you used
earlier. In Chromium and similar forks, add
--proxy-server="socks5://host:port" to the parameter in the command line.
Read more on the instruction for Firefox and
Chromium on their respective websites.