???
Normally your computer makes a connection to the server. If you use a proxy, your computer makes a connection to the proxy, and the proxy makes a connection to the server on your behalf.
And what's the point of that?
http://www.google.ca/search?hs=PVp&hl=en&newwindow=1&safe=off&client=firefox-a&rls=org.mozilla%3Aen-US%3Aofficial&biw=1024&q=proxy&btnG=Search&meta=
TEH GOOGLE ;D
The point is that the server then sees the proxy's IP address instead of yours. This can be used for protection, or to do bad things.