A proxy is a computer server or software program that is part of the gateway server or another computer that separates a local network from outside networks. A proxy server will cache all pages accessed through the network allowing users who may want to visit that same page to load it faster and reduce the networks bandwidth. When a page is accessed that is not in the proxy server's cache, the proxy server accesses the page using its own IP address, caches the page, and forward it to the user.
Do I have a proxy?
Programs and devices that connect to the Internet may ask for a proxy, proxy address, or proxy server. This information is only required if you are connecting to a proxy to connect to the Internet. If you are not sure, it is likely you do not have a proxy and this information can be left blank or if available select the option to auto detect network settings.
How to share an Internet connection using a proxy
Today, for most users the easiest way today to share an Internet connection is to use a network router.