The proxy server is a server where clients request information. This acts like an intermediary for client's requests. You can use a proxy server to access information that is unavailable in your region or you can use a proxy server to navigate the World Wide Web by connecting through it. In Windows, you can change the Proxy settings by going to Start > Control Panel > Internet Settings or open Internet Explorer > Tools > Internet options. All the changes made in Internet Explorer's settings will have effect on all the system. If you want to set a proxy server for your computer, you will need its IP address and a port which is opened for communications.
For more information about this matter, I suggest you use Google.