It forwards request from your computer to destination computer meaning that there are no or less restrictions placed on what you can access. normally used at work or school to access "blocked" sites and services.
A proxy site is a site which allows you to bypass ISP firewall's and access websites example in my signature
Use Google and you will find your answer. No offence but its a very basic question and you should try to make a search before opening a thread
Most proxy sites will mask and hide your ip address. The particular proxy sites that you are inquiring about will re-direct your traffic through a different server other than your own, thereby defeating restrictions placed on your network by a system admin or other person.
It will hide your original IP address and switch it with another one so you can access websites which have blocked your IP.