A proxy connection is a way to connect to the Internet in which you first connect to another computer, called a proxy server. The other computer then connects to the Internet for you and transfers the information to your computer.
Proxy connections are mostly used to increase security, which they can do by hiding your identity or restricting access to a network. They can also be used to circumvent security systems that work based on identifying a user by the computer they connect from.
A large advantage of a proxy connection is that it maintains the anonymity of your computer. All connections are routed through the proxy server and thus appear to originate from it.
Proxy servers can be used to limit access to a network. Some systems only allow people access to some files if they have logged in to the network's proxy server.
In some cases, certain websites may not be viewable from certain computers or countries because of Internet censorship or security systems. A proxy connection can allow you to get around these restrictions.
When you use a proxy connection your information passes through another computer, so there is a risk that that the proxy computer's owner could access your information.