Privacy online

I read with interest your article on privacy online in this months PCA. I downloaded Vidalia, but how do I tell if it working? Everytime I change my identity my own IP address comes up and the location of my local telephone exchange. Should this happen? Also can I choose the country of origin. I would dearly love to log on to BBC iplayer, but it reads my ip address and tells me that I cannot access it because I am not resident in the UK. Any help will be much appreciated.