A proxy echoes infrormation from one place to another place. Some may cache it to speed things up (like with a SQUID proxy). It saves commonly viewed web pages (like maybe www.google.com or www.antionline.com) on its hard drive, so it doesn't have to request the page each and every time someone wants to go to that web site. A good example is http://pureprivacy.com. You tell it to go to a website, and it sends you to it through its proxy. Its a good way to bypass filters actually. When you go to www.google.com on pureprivacy.com, it shows that you are still at www.pureprivacy.com. Thats because its through the proxy.