Proxy Servers (sometimes referred to as proxies) are intermediary servers which sit between the client PC and the destination or target server.which can be physical or a software service
They can play all sorts of valid roles in an IT infrastructure.
However, one use of them is to mask the origin of a client PC to gain access to websites or services that the users location would not usually permit.
If a Webmaster in France used Geo-location on their website to display different content to visitors in different countries they would find it difficult to check the results as they would only see the content that they have granted to fellow visitors from France. If they wanted to check what their US customers could see and access they could subscribe to a service that rents them the use of a Proxy server in the United States.
The Webmaster in France could then connect to the proxy server.
The Proxy server would then connect to the website.
As the Proxy server is based in the US the website would display the content available to US visitors and then relay that to the Webmaster circumventing any location restrictions.