In how much detail do you want to know.
In simple terms, a proxy server simply routes queries from a browser or an ftp client (or any client for that matter) to the internet.
Eg, if A is my computer and B is a proxy server, then if i connect to the internet through B, it means that A sends its request to B and B get it from the internet then returns it to A.
If you can rephrase the question more specifically, someone will be able to answer as per your need