In a nutshell, what you're doing with a proxy is setting up a middle-person between you and the internet. Using the proxy, your browser hands off web page requests to the proxy server, which handles the request and fetches the page for you from the internet. The web site actually thinks the request is coming from the proxy server, not your computer, which is a good way to obscure your originating IP address. Additionally, the connection between your computer and the proxy happens over SSH, an encrypted protocol. This prevents wifi sniffers at the coffee shop from seeing what you're doing online.