A proxy server is  a software system running on a computer or any other hardware that acts as an intermediary between an end users, such as a computer, mobile, or another server from which a user or client is requesting a service.

How it Works – 

When a proxy server receives a request for an  resource (e.g a Web page), it searches in its local memory [ cache of previously pages]. If it finds the page, it returns it to the user without needing to forward the request to the Internet. thus increase speed and saves bandwidth also.  If the page is not found in the cache, the proxy server, acting as a client on behalf of the user,  request the page from the server out on the Internet using its own IP address. When the page is returned, the proxy server relates it to the original request and forwards it on to the user.