Than it really depends on which multiplayer game you want to play. In this case additional ports opening is required.
Instead, if you want to play only single player games, the steps before should work in 95% of games except those that requires additional connection requirements, like, for example, some Ubisoft games, some Game For Windows Live (GTA IV), etc.
The simplest and safest way to get a game that is unavailable in your region is to have somebody else buy it for you, there is a myriad ways to wire the money to them. The only exceptions are some (but not all) games that are unavailable due to censorship in your country, so look out for that if you live in Germany, Australia or another country with similarly ridiculous censorship laws.
Best Answer
Of course you could run Steam behind a proxy server, provided that the administrator opens the necessary ports.
You can find a good guide directly on Steam Support: Required Ports for Steam.
Basically in order to just run steam you need:
Than it really depends on which multiplayer game you want to play. In this case additional ports opening is required.
Instead, if you want to play only single player games, the steps before should work in 95% of games except those that requires additional connection requirements, like, for example, some Ubisoft games, some Game For Windows Live (GTA IV), etc.