Buttewifi tells us how to do it on Windows via putty.
SSH tunneling allows a remote SSH server to function as a proxy server. Network traffic from your local system can be sent through the secure connection to the SSH server. For example, you could direct your web browsing traffic through an SSH tunnel to encrypt it. This would prevent people on public Wi-Fi networks from seeing what you’re browsing or bypass website and content filters on a local network.
Of course, the traffic becomes unencrypted when it leaves the SSH server and accesses the Internet. To a web server you access through the tunnel, your connection will appear to be coming from the computer running your SSH server, not the local system.
$ ssh -D 9999 -C user@host