A proxy or a proxy server can be seen as a door, passage or lock between you and the Internet, whether Windows, MAC-OS or Linux does not matter!
So it's a mediation server that separates end users from the websites they browse. Proxy servers offer different functions, security and data protection depending on the application, requirements or company guidelines.
So when you use a proxy server, the internet traffic flows through the proxy server on its way to the address you requested. The request is then returned through the same proxy server, there are exceptions to this rule, and the proxy server forwards the data it receives from the website to you.
Is also often used by hackers or in the dark net to disguise access, but the proxy server was designed for other tasks