What is a proxy server and how does it work?

Per Lundholm

A proxy is something or somebody representing some other party. In the case of an HTTP proxy server, it is a server that relays browser requests to the appropriate web site, receives the web server response, and relays the response back to the browser. An HTTP proxy server is typically used through a firewall to avoid clients connecting directly to the Internet. The HTTP protocol explains how a client should get pages through a proxy.