If you directly conenct to someone, using peer to peer file transfer programs, they can find your ip address.
The only way to hide it is to run it through proxy servers, as you said, but the proxy server's ip address will be visible.
This is how the internet works. Connections between two ips.
The conections through proxy servers CAN be traced rather easily.
Especially is the RIAA/MPAA/etc want to hunt you down. Which is what this person is concerned about.
If you mask or spoof your ip address, then you will be unable to use peer to peer networks.
Your best bet is to not share files, and use something like peer guardian, which blocks known ip addresses associated with the RIAA and other such organizations.
If you really don't want to get caught, don't steals**t.
We don't have to assume EVERYONE has suspicious reasons for asking about this.
I've come across numerous websites, INCLUDING VARIOUS FORUM POSTS where there is a pop-up balloon or encapsulated text message that warns the user their IP address is "known" or outright threatens the user with something like this...
Your IP address is known to us (IP address is shown here)
Beginning destructive viral download. Your system is mine. Mwaa-haa-haaaaaa.
Or, something equally sinister.
The user may even check that the IP address displayed IS their IP address, and when they verify it is their address, they go into panic mode.
The clear implied or direct threat being that because the IP address is visible, the user is vulnerable to all sorts of malicious actions.
After something like that, I could easily see someone asking how to mask their IP address.