All you need to do is make use of dynamic port forwarding to simulate a SOCKS proxy. Here is how you would do it.
putty -ssh -D 4096 -P 80 shell.panix.com
In case you are not familiar with Putty* and its command line options I will break that down for you:
Note 1: You can also use the Putty graphical user interface. You do not need to use the command line! Once you have started Putty you can get to the port forwarding section via Connection -> SSH -> Tunnels. Then type 4096 (or any other suitable port number) in the Source Port box, click the Dynamic radio box and click the Add button.
Note 2: If you are using Linux or MacOS/X you could use OpenSSH as follows: ssh -D 4096 -p 80 shell.panix.com
For example, in Firefox you can access the proxy settings here: Tools -> Options -> General -> Connections Settings. Then select the radio button for Manual proxy configuration. In SOCKS Host enter: localhost and in Port enter: 4096
*Putty is a free/open source telnet/ssh client for Windows. Here is the home page. All of the above can also be configured by the Putty GUI and saved as a 'session' if you prefer.
Those wanting to use BBC iPlayer from abroad should read this.