I don't know a whole lot about it but my understanding of a proxy server website whole be.
It's basically a link redirection service that would hide your ip and or browser information from the website your accessing while some can disable cookies from being stored on your computer, disable the website from running scripts, and change the websites title in some cases. So I'm guessing it's basically like viewing a website inside of another website (the proxy) so all your data in sent to the proxy and not the actual website your trying to view.