In reply to aln:
When you download TOR you generally download the Tor Browser Bundle which is a separate copy of Firefox that runs alongside TOR. You'd see about a 95% drop in internet speed if you tried to use TOR while browsing normally. If anonymity is what you're going for (or preventing your ISP from throttling your connection while you're torrenting or whatever) then pay for a VPN. That would anonymise your connection at a very small reduction in speed, perhaps 10%, though that varies with VPN provider and how decent their setups are - and of course where you choose your connection to exit. I exit from germany or holland so the speed reduction is pretty low, cause those 2 countries are geographically close to where we are. If you used an exit in russia or indonesia or something you'd expect a bigger speed reduction.
So the way a vpn exiting in germany would work is as follows:-
I request a website - that request is sent to the german VPN server - the vpn server requests the site - the site replies to the request made by the VPN server - the german VPN server relays the page to me. This way my connection is never revealed to the website, all they see is a request from german VPN server. Therefore I'm hidden.
The way tor works:-
I request a website - the request is sent to relay1 in ireland - the request is forwarded to relay2 in russia - the request is forwarded to relay3 in alaska - the request is forwarded to relay4 in china - the request is forwarded to the exit node in brazil - the website responds to the request and then the chain is reversed till I get the website. So relay4 in china only knows that relay3 wants that website, relay2 only knows that relay1 wants that website, therefore you're hidden behind numerous connections. This is super slow because there's so many relays and slow connections involved.
The way a normal internet connection works:-
I request a website - the request goes to the website - the website replies and gives me the site. They know who I am because there's no computers between me and that request.
Hope that helps to explain it a bit more.
Post edited at 13:08