A proxy server forwards your requests to the internet. The advantages are:

if several users share a proxy server it can serve requests out of its memory (buffering)
you can masquerade your location. You may get better rebate at Hertz or you may be able to watch a video that is not supposed to be available in the country you are in. Or you may not want people to know where you surf.

Software choice

Process

You can get yourself a virtual server at rackspace and use it as proxy.

Dont leave your proxy running and allow anonymous access.