The program appears to be a Wi-Fi firewall, I'm not sure.
If that's what it is it offers no (Zero, Nada, Zilch) protection for downloading "stuff".
It protects your computer from being hacked, it does not hide who you are.
If you are talking about taking advantage of an unsecured Wi-Fi network. Well, it's a really asshole thing to do - that's all I have to say about that.
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