A proxy server is a computer network service which allows clients to make indirect network connections to other network services. A client connects to the proxy server, then requests a connection, file, or other resource available on a different server. The proxy provides the resource, possibly by connecting to the specified server, or by serving it from a cache. In some cases, the proxy may alter the client's request or the server's response for various purposes.
From : en.wikipedia.org/wiki/Proxy_servers