This one is a simple Linux tool for setting up a TCP/IP tunneling. You can use it as an IRC proxy, SSH, w3cache tunnel and so on.

Advantages:
- extremely small
- builds on most platforms without any problems
- has an option of trying to pass traffic through some buggy remote proxy servers
- supports IP-based access control

What is exactly a tunnel ?
And where can this software be installed?
On a server or local computer ?

Thank you.

You need access to a remote server in order to set up a tunnel.
When you connect through a tunnel, it looks like you were connecting directly from the server and not from your local PC.