Recently, some P2P traffics are being tracked and times P2P users are being harassed. I am not saying dowloading illegal software and stuff is a good thing. But Emule can certainly be used to download other freeware and so.
The nasty messages can be avoided if you are willing to bear with a lower download rate. You can use Tor, the anonymous Internet communication system, at
http://tor.eff.org/. To quote from the Tor site, "your traffic is safer when you use Tor, because communications are bounced around a distributed network of servers, called onion routers."
To install Tor is straight forward. To use Emul with Tor set proxy to socket4a and point to 127.0.0.1 at port 9050 (for default setup).
When you use Tor's socket4a directly, you'll get some warning about DNS leaking. You can ignore the warning messages. Emule does not work with privoxy (
http://www.privoxy.org) chained with Tor in my testing. If you somehow manage to make it work, please let me know.
If you are willing to help out the Tor project a bit, you can run an onion router from you broadband connection. Currently, most onion routers are in U.S. Running an onion router is not too difficult, all you need to do is to edit the torrc file in %appdata%/tor a bit.