http://config.privoxy.org/ will, while Privoxy is running, take you to a configuration page. Most of what you can do there is limited to viewing files, though; you need to edit them with a text editor to add things. You can do it on the N800 if you use a program that can see the real file structure. I use my PC to do it over SSH (and fuse.)

http://www.privoxy.org/user-manual/configuration.html <- this page has more information on how to use an set it up. Right after installing privoxy, I had to make a few changes. I turned off the privacy settings that were expiring cookies and put Google on as a "fragile" site. Aside from that, Privoxy has worked wonderfully for me.

I think you are right; one of the reasons Ubuntu has taken off like it has is because they are very opposed to that sort of insulting attitude on their forums.