Proxy means agent or deputy. A proxy server can be a separate machine or a program or service on the machine, that is connected to the net. If you use a proxy server, you do no longer use the Internet directly, but indirectly.
Instead of contacting remote servers directly, your request is submitted to the proxy. The proxy itself will make the request to the remote server, retrieve the result and pass it to you.
You must set your browser accordingly to use a proxy.
Possibilities and advantages of proxy servers
A key point is the security aspect. If you have a computer network and each computer goes straight to the net, then you have to secure each computer. This is often done implicitly by an already built-in firewall in your router that connects to the network. Strictly speaking, this router is also already acting as a proxy that forwards requests, performs address translation, and passes results.
When using a separate, local proxy server, one can usually trust the communication of the local machines. Therefore just the proxy server has to be secured against intrusion from the outside.
In addition to proxy server are able to filter. Outgoing requests to unwanted server can be easily rejected, what is especially useful in the business environment. On the other hand incoming content can be examined for pests and unwanted content can be replaced or removed.
Proxy server can maintain caches. This leads to a significant reduction in network traffic. Retrieval speed is increased. As the local cache of the (>what-is-a-web-browser|browser), a proxy can store content and to reuse it for a certain time. Renewed demands of the same content are no longer directed outwards but answered directly by the proxy server. In contrast to browser caches a proxy cache maintain the data of all participants.
Usage of public proxy servers in general is linked to a certain risk.