Through this program it will change your IP address. Your internet connection will be redirected through a server (proxy server). You can choose the country for proxy server, so you can get an IP address of that country. There are available many countries and servers.
Besides changing the IP, Hotspot Shield is capable to encrypt the internet traffic. This means that the data are encrypted and if someone will steal it, will not be able to use them.
The websites that you will visit will not see your real IP address. They will see the IP of the proxy server. So your privacy is protected. You can start and stop the program anytime.