How to create a proxy from a virtual machine?

[rie]

Hello, a few months ago, a friend told me that he was able to create an SSH connection on a virtual machine using an application called PuTTY and set up a proxy with a small Python script. He mentioned that the setup provided a new IP every time he reconnected. He suggested that I do the same by using Amazon AWS. My question is, can I really do this, and which Amazon AWS package should I get, or do you recommend a different virtual machine instead?