So I was tinkering with BitTorrent and I found this thing in Options> Preferences >Connection called "Proxy server". I don't know what this does but from the research I did it sounds like a security measure. Is this true or not? If it is then will it allow me to download without Cox being able to find out what I'm doing or will it at least make my downloading relatively secret? Oh, and which server should I use Socks4, Socks5, HTTPS, or HTTP?

Thanks in advance. Please be as detailed with your answer as possible.