Hello, first of all what are proxies, how do i use them?

I want to make a program that may use proxies to allow me to watch videos on certain websites that restrict their video viewers to US citizens only.

Since i am from canada, and i want to watch a video on a website like abc family. If i click play on a video it says;

Sorry our video services are currently avaible for US citizens only.
Can i use proxies to confuse the website to watch the videos? Maybe put the video in a WebBrowser control?

I am pretty sure this is not illegal since all they say is that there services are going to come out in Canada and other countries later on.