<p>A friend of mine told me there was a way to connect two private IPs without using a proxy server. The idea was that both computers connected to a public server and some how the server joined the private connections and won't use any more bandwidth.</p>

<p>Is this true? How's this technique named?</p>

This is true.  It's the way
FogCreek Copilot
works
Take a look at item 2 on Joel's
Copilot 2.0 post
.