Use of proxy
A proxy server stands between the browser and the internet. It has several utilities--
1) To share a single internet connection among several computers.
2) To cache the most accessed pages which speeds up the browsing.
3) To implement different restrictions on clients.
There is nothing illegal in using a proxy but it has almost no effect on a stand-alone machine.In a client server environment it is more useful.
The proxy server can be integrated with a firewall.
The linux OS has a built-in proxy server known as squid.
For windows OS, win-Proxy is a populer one.
You can try out a good free proxy server at
www.analogx.com