How can I use a proxy server to watch movies on netflix.com of Mexico?

I know that Netflix to stream movies you can not do that outside the U.S. Well I'll be in Mexico for a month on business and I would be able to watch movies .. I read that you can do this using a proxy server .. What is it, how I do, and it is illegal?

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Hudsucker Proxy – Netflix Greatest Kiss

Roku HD-XR Player $99.99 Now featuring extended-range wireless, Roku is the easiest way to stream instant movies and shows directly to your TV – over 50,000 and counting, from Netflix, Amazon Video On Demand, and more. The top-of-the-line HD-XR model uses the latest wireless standard (Wi-Fi “N”) to deliver the best quality video virtually anywhere in your home. It’s so easy and powerful; no wonder Roku is Netflix members’…