A proxy server is a server that retrieves web pages for you, providing only its own identity to the sites it visits. Examples of proxy servers are Ninjaproxy.com, Proxyblind.org, and Proxify.com. Most proxy servers that are available for public use simply allow you to surf websites on the Internet without having your browser type, IP address and other header information sent to the website you are viewing. Please don’t mistake this to mean that there is not a link between you and that website. It simply means the website itself does not receive this information because the proxy server blocks it. However, all of that information is (usually) collected by the proxy server, along with the requests you made through their proxy.
So in the end, the websites you visit will not be able to determine that your IP address has visited their site, which to some is considered an anonymous web excursion. They will only know the proxy server was there, which raises another area of caution. Many sites will deny access to servers they know to be proxy servers, which could become a hassle when surfing the Internet.
If there is one lesson to take home as an average Internet user, it is that nobody is anonymous on the Internet, regardless of what anyone tells you.