Privoxy could be thought of as an ad blocker for advanced users. It takes a little brain power to customize the configuration, unless you are a programmer. But it's pretty good. Its greatest advantage is that it can block whatever you want for any app, not just a single web browser.
Everything Privoxy related is in the folder
/Library/Privoxy/
That's the top level Library on your computer, not the one in your user folder.
However, if you kill it, it will just come back next time you start up. It doesn't come with the Mac, so at some point someone installed it on your machine. If you don't want to run it, you need to uninstall it. You can run this:
/Library/Privoxy/uninstall.command