What is a proxy server?
In computer networks, a proxy server is a server (a computer system or an application program) which services the requests of its clients by making requests to other servers. A client connects to the proxy server, requesting a file, connection, web page, or other resource available from a different server. A proxy server provides the resource by connecting to the specified server, with some exceptions: A proxy server may alter the client's request or the server's response. A proxy server may service the request without contacting the specified server.(A proxy server that passes all requests and replies unmodified is not called a proxy server. It is a gateway.)
A proxy server can be placed in the user's local computer, or at specific key points between the user and the destination servers or the Internet.
(Read more on Wikipedia
)
How to use
Following sites describes how-to use proxies!How to set up a proxy server to work with my browser?

How to Set Up Your Browser

Firefox Plug-in
Read more about the Firefox plug-in here.CoDeeN
Codeen is a proxy server system created at Princeton and deployed for general use on PlanetLab. It operates as per the following:1. Users set their internet caches to a nearby high bandwidth proxy that participates in the system.
2. Requests to that proxy are then forwarded to an appropriate member of the system that is in charge of the file (should be caching it) and that has sent recent updates showing that it is still alive. The file is forwarded to the proxy and thence to the client.
(Read more on Wikipedia
)
Proxies: