As its name implies, Privoxy is a proxy: It comes between your browser and the Web, intercepting HTTP and HTTPS (secure HTTP) traffic and acting as a traffic cop of sorts. Privoxy sanitizes the information your browser sends and receives. Content blocking works by simply not delivering the ad to the browser, or not fetching it at all, so there's nothing to display (or nothing to run, in case it's a JavaScript user tracking script).
There are many browser-specific add-ons for blocking ads, such as the excellent for Firefox and Chrome. But these run within the browser, and may crash or make it slower. Privoxy runs outside the browser, and is browser-agnostic: All browsers on your system can use this single tool and surf ad-free, even if they don't have ad-blocking plugins of their own.
If you are just looking to block ads, Privoxy is simple enough to use: Just install it, tell your browser to use it as a proxy (this changes from browser to browser), and you're done. I didn't tweak any configuration options, and ads all but disappeared from the websites I tested. I did notice a couple of quirks, such as images not loading on a test website, but when I tried the same website in a different browser it worked fine (and then it started working in the first browser too).
While Privoxy's default configuration is robust enough, if you feel the need to troubleshoot or modify anything, you'd best set aside an hour or two to dig through the extensive documentation and lengthy configuration files. Privoxy provides a built-in troubleshooting tool to help you understand why it blocked (or didn't block) a certain URL, but its output can be cryptic and is a far cry from intuitive browser tools that let you eliminate ads just by clicking on them. claims that "complicated is in the eye of the beholder"--well, this beholder sure feels it's complicated.
Privoxy's documentation shows how passionate the authors are about ad blocking and privacy protection on the Web: I don't remember the last time I've read a that referred to a software product as "a veritable arsenal of tools with which to exert our control, preferences and independence."