Find your computer's IP address in the Control Panel -> Network Connections. This is probably something like 192.168.1.100. If it does not start with 192.168 then you might have a public IP and this won't work (at least not easily).
Download Privoxy from their website: [ Register or Signin to view external links. ]
Run the Privoxy installer. When it is done the Privoxy window should appear.
Go to the Options menu and select 'Edit Main Configuration'
Find the line that says "listen-address 127.0.0.1:8118". Should be about halfway through the file.
Replace 127.0.0.1 with the computer's IP address (should start with 192.168). The :8118 part should stay.
Save and close the configuration.
If you have a firewall on your computer you need to allow access to Privoxy on port 8118.
On the PS3 open the network configuration settings. When it asks if you want to use a proxy say yes and enter your computer's IP address and port 8118.
Make sure the conenction test works and your set.