A proxy acts as an intermediary for certain types of transactions on the internet.
The most common is probably a web proxy. When configured to use a proxy, a web browser makes its requests of the proxy, not of the actual website being requested. The proxy then makes those requests on behalf of the browser, and returns the result.
For example, normally when browsing a website such as askleo.com, a web browser connects directly to the server hosting the web site and requests whatever pages the reader wants to view. When configured to use a proxy, the browser connects instead to a proxy server to make its requests. The proxy server then connects to the desired website – askleo.com in this case – on behalf of the original web browser.
Proxies can be used for several different reasons, but most commonly, they implement some kind of filtering: either restricting what sites can be viewed, or examining the information returned by those sites for malware and perhaps other prohibited content.