What is a proxy?



Basically a middleman. When you are browsing a site through a proxy your requests are sent to the proxy and the proxy forwards them to the site instead of you connecting directly to the site. There are several classifications (the terminology is far from standard):

Transparent
A transparent proxy is one that needs no configuration on the clients. It works by automatically redirecting all port 80 traffic to the proxy. (Sometimes used as synonymous for non-anonymous.)
Explicit/Voluntary Clients must configure their browsers to use them.
Anonymous. The proxy sends no client identification to the server. (HTTP_X_FORWARDED_FOR header is not sent; the server does not see your IP.)
Highly Anonymous.The proxy sends no client nor proxy identification to the server. (HTTP_X_FORWARDED_FOR, HTTP_VIA and HTTP_PROXY_CONNECTION headers are not sent; the server doesn't see your IP and doesn't even know you're using a proxy.)

Public
(Self explanatory)

A transparent proxy may or may not be anonymous, and there are several levels of anonymity.