Proxy, how it works?

Generally, a proxy server is used to give Internet access to a network (one or more computers). Indeed, as others have said, that network is using proxy's IP address to connect to the internet. In this way more computers use one IP in order to connect to the internet, thus hiding their own address. It can be speedier if the proxy caches some web content that will be delivered quickly to your computer, compared to a classic situation. Beware of "free" or open proxies. Remember that your traffic is forwarded using that proxy server and is potentially available to the proxy's administrator.