A proxy server is a server that acts as an intermediary for requests from clients seeking resources from other servers.
This server sits between a client application and its real web server. The client application is typically a web browser. The proxy server intercepts all messages to the server and fulfills the client requests itself if it can.

A client connects to the proxy server, requesting some service, such as a file, connection, web page, or other resource, available from a different server. The proxy server evaluates the request according to its filtering rules ( IP address or protocol). If the request is validated by the filter, the proxy provides the resource by connecting to the relevant server and requesting the service on behalf of the client. A proxy server may optionally alter the client’s request or the server’s response, and sometimes it may serve the request without contacting the specified server.

Main purpose for using proxy servers are
a) Log/Audit usage.
b) Increase performance
c) Scan transmitted content
d) Filter requests from the client.
e) Security
f) Scan outbound content