Internet Privacy

(S)WIM was doing some research about internet privacy especially in the realm of p2p downloading, proxies, private web browsing...

(S) read about setting up a VPN on Windows 8. But it asks for a sever address or domain name. Where does one locate the server address for one's internet? However if one did that, would it even work like it should? Or does one need to get a server address from a VPN service?

(S) dug into some things and remembered that one can actually set up a VPS, via Azure. If one did that, and was provided a server address, etc. Would one be able to use that address to set up a VPN, and secure his connection? Would one even be able to connect to the internet? Will the connection be "private", and "unable to be tracked"?

Please provide details, and explanations. SWIM wants to be able to connect to the internet and p2p download, browse privately, and access tor websites with no traces...