Though convenience of this program can't be denied, it has just a few options that can increase your privacy. So if you're serious about your privacy and don't want your traffic to be easily intercepted by third party, forget about ICQ. ICQ passwords are stored in plain text and can be stolen by trojan programs, someone can "bomb" your ICQ with thousands of messages, ICQ messages can be sent anonymously or even from the name you want. If you're interested, you can look at the following sources for example: icqhijaak, icqspoof, icqsniff and icqflood.
 
So you may want to forget ICQ and start using programs with ability to encrypt all the traffic between two parties. You can try Secure Shuttle Transport, Confide or Trillian. You can also organize VPN (Virtual Private Network) between several locations using the software that will encode all the traffic inside your VPN. By the way, there's add-on for instant messengers you may want to try out. It encrypts your messages using Elliptic Curve Cryptography (ECC) algorithm. Trial is here. Another interesting program is PGP-ICQ. You can download it from here.
 
If you want to use ICQ after all, maybe some recommendations listed below will help you:

For Icq2000 disable revealing IP by accessing "Direct Connection" tab in your "Security and Privacy Preferences" and selecting any option except "Allow Direct Connection with any user".

You can also set "Privacy (Invisible)" mode when working. It's not a problem to set "Alert/Accept modes" to "Visible to user" for the person you know ... Note that if "Publish my online presence on World Wide Web" option is checked and you're in "Invisible" mode for some user, he can still check if you're online or not via http://wwp.icq.com/your_uin page.

Don't forget to check if your IP can be revealed - try "UIN Locator".