A proxy is a general term for a go-between. There can be different types of proxies. 

In diplomacy, a proxy can mean an intermediary who represents another party

In computer networking, a proxy is a server that a computer connects to in order to hide its real IP address. This is useful for maintaining anonymity, avoiding IP bans, getting access to otherwise blocked networks, and many other purposes. A VPN (Virtual Private Network) is a common type of proxy.

Could you please clarify your question so I can better address exactly what you want to know?
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