A proxy server sits between the web browser and the actual connection.
You are proably not behind one, since you would most likely know about it if you were.
Privoxy.org is a place where you can get a proxy server, it blocks banner ads and other junk. Some proxy's speed up web access, like an "internet accelerator" service.
So, I'm not sure what the deal is. I have problem with cookies when I try to view a profile on MSN messenger, if I turn off the proxy server, eveything works fine, but I have to put up with ads.
Curtis