A proxy is pretty much an alias you can use to browse the Internet and retain some anonymity.
A proxy hides your IP Address (Internet Protocol Address).
Most web sites and analytics programs, even advertisers look at your IP address and can find out where, geographically, your computer is (at least to where your Internet Service Provider is based) and can use that information to display custom ads or tailor the content of their site.
This isn’t necessarily a bad thing but there are people who just like to keep everything about their Internet activity private.
There are sites out there like Proxies.us that list Proxy sites that you can connect through to mask your IP address.
p>Check it out and learn more.