As an example, a user can send a http request from the computer to proxy server, then the proxy server will communicate with the web server (computer won’t talk to web server directly) and then return the web page information back to the user’s computer, so that the user’s computer IP can be hidden and prevent unauthorized access to user's computer through the Internet. This kind of proxy server is also called anonymous proxy server.
There are also additional features can be implemented on proxy servers, such as filter to check and warn you on phishing, spyware or other unsecured websites, URL website blocking filter and caching to improve request response time. The proxy server can be a program installed on computer, proxy server set up on your home network or the public proxy server on Internet. Check out here on how to use free anonymous proxy server to surf Internet.
Firewall Proxy servers
Most modern firewalls distinguish between packet filtering and proxy server services. A firewall proxy server is an application that acts as an intermediary between tow end systems. Firewall proxy servers operate at the application layer of the firewall, where both ends of a connection are forced to conduct the session through the proxy. They do this by creating and running a process on the firewall that mirrors a service as if it were running on the end host.
A firewall proxy server essentially turns a two-party session into a four-party session, with the middle process emulating the two real hosts. Because they operate at the application layer, proxy servers are also referred to as application layer firewalls. A proxy service must be run for each type of Internet application the firewall will support -- a Simple Mail Transport Protocol (SMTP) proxy for e-mail, an HTTP proxy for Web services and so on. Proxy servers are almost always one-way arrangements running from the internal network to the outside network. In other words, if an internal user wants to access a Web site on the Internet, the packets making up that request are processed through the HTTP server before being forwarded to the Web site. Packets returned from the Web site in turn are processed through the HTTP server before being forwarded back to the internal user host.