Simply said, It masks your ip.
Imagine you are using a german proxy. When some site checks your IP, it seems the german IP instead of yours. So everything you do is under the radar.
Its basically a mask which masks your IP.
If you visit a site, your browser connects to a remote computer(proxy) which visits the site, and returns whats in there. In the end, it would be like it was the remote computer who visited the site, and not really you. I hope I amnt making this complex.