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It's important to understand that online computing is not a passive experience. Your web client is not passively downloading web pages for your perusal. Much more than you perhaps will ever realize, online computing is an interactive game - sometimes with lethal results.
Radio and TV have no such possibility. You are truly anonymous when you listen to radio or watch TV. The signals are just 'out there'. Your receivers pick them up 'in the ether' and you listen and watch.
Online computing is more like a telephone call. For you to connect to a remote website, your computer must first identify itself to this site. This is not just overdone protocol; it's absolutely necessary, given the way communications of this sort work.
The remote server sits there, as it were, listening all the time. It waits for client computers to attempt to hook up to it. When it gets such a request, it creates what is known as a 'socket' and sends the necessary info about this socket to the client. To be able to send any data back, the server must know where the client is. Which is where your IP comes in.
Currently IPs are 32-bit numbers. They can be 'pretty formatted' a number of ways, and even have 'pretty names' (URLs) but basically they're numbers - and they have to be unique. When the server finds out who you are, it can send back information to your machine so that the 'conversation' can begin. Thus your machine must provide this information - your current IP - to the remote server with the connection request. And from that moment onwards, you are no longer anonymous.
Your client establishes what is known as a 'virtual circuit' with the server - exactly like a telephone call. You both know who each other are. Now your client can start asking for data. Such as what kinds of files are recognized, what the basic server 'HEAD' information is, and so forth. And finally start downloading the page you wanted to see.
Who is the server and who is the client is a gray zone anyway. You might contend, for example, that as soon as your machine offers information to another computer that it is acting as a server itself. Whatever: the fact is that you are 'out there'. You are 'visible'. Anyone can see you are online. They might not know much about who you are yet, but the worst of them will now start attempting to find out.
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