Basically, it's something to hide yourself
1) Free proxies. Hard to do something with them as lots of people are using them and they die quickly (stop working)
2) Private proxies (you have to pay for them, best thing)
When you connect to internet, an IP is assigned to your PC
Ex: 111.111.111.11
So this becomes YOU
By using a proxy, you can make your PC show another IP
Another YOU if you prefer
So you can signup to things with more than one account.
You can create more users or anything else.
In fact, lots of things are possible using proxies (more YOU)
Remember that some are transperant, which means it shows your real ip so be careful on the free proxies you use
Kinda like a fake protection in a way
Hope it helps