What is a "Proxy" on the Internet?
A proxy is a computer that exists between a client and a server that connects to the server in behalf of the client. For example, if you are accessing a website normally, your web browser (the client) connects to the website's web server directly, however, if you use a proxy, then your web browser connects to the proxy, and the proxy connects to the web server.
Proxies are sometimes called "VPN's" these days.
Proxies can be used to hide your IP address from the server. Many websites are simply inaccessible in some parts of the world, such as websites that have stopped serving European citizens as they can't comply with the GDPR. In this case, the server detects where you live using your IP address and then decides to not serve you. You can get around this by using a proxy (a VPN) that is located somewhere not in Europe.
Note: I'm not a lawyer, but I believe it isn't illegal to do this. It probably violates the website's Terms of Service, though. They don't serve European users because they don't comply with the GDPR, which means they legally CAN'T have you as a user if you are in Europe. If you create an account in a website using a VPN, you can't complain if they terminate your account later because you weren't allowed to enter a contract with them to begin with.