About Proxy changing?

I'd like some answers about proxy changer,how they work,what they do.And answer this question:my country just recently blocked torrent sites,theres a fine if you download any,i just broke in with a proxy changer and can download anything,but will I get caught,by my IP? P.S my countrys(Georgia) bullshit we dont have original disks or anything,our freakin goverment wants to make money and thats the reason theyre doing this.please help me