Anon and High anon basicly mean it cant be backtracked through in the standard sense.
(eg using the x-forward for function) ->>
http://darksat.x47.net/topic/58.0.htmlHowever if your on a page with a Java applet or a specialy crafted flash file, those files can still pull information like your IP number from your PC without going through the proxy.
Edit, Sorry I forgot to say that a lot of basic proxy systems can be hacked due to a lack of security fairly easily.
And its easy to buffer overflow a Proxy if you can rout data through it.
It might stop the proxy working for everyone else, but it will get you in.