Some answers to your questions!
What is a Proxy?
Environment in particular networks, a proxy server or proxy (in English) is a computer application and client-server whose function is to relay requests between a client application and a server application.
Why a Proxy?
The proxy can protect you: it can allow you to log out and ban computers connect internet to come on your own. This protection function is often included in proxy firewalls (fire walls), computers programmed to filter communications between networks (eg between the corporate network and the Internet).
The proxy can hide information about your computer: In fact, when you surf all websites can know what site you came from, what browser you are using, what is your operating system, your IP address ... Some proxy hides this information. These are called proxy anonymous proxy.
The proxy can store the most requested pages. So if you ask several times http://www.yahoo.com/index.html page, the proxy you will immediately search without going to www.yahoo.com. If you are close to the proxy, it can speed things up. He then called proxy-cache.