Some descripitions of what proxy servers are and do (and yes- they're perfectly legal):
http://www.publicproxyservers.com/index.html
http://www.webopedia.com/TERM/p/proxy_server.html
http://whatis.techtarget.com/definit...212840,00.html
However, if you're just looking to protect one or a few computers on a home or small office network, a proxy server is probably overkill.
Additionally- if you aren't very familiar with computer/network security, you'll probably find the task of setting up and properly configuring a proxy server to be a bit over your head. There's also the cost factor: a true proxy server is a separate dedicated computer which stands between the existing computers on your internal network and your connection to "the outside world"; you'll need to shell out some $$ for the extra hardware and software.
What are your specific "security" concerns and what sort of computer/network setup are you trying to protect?
If you give us some details, we can give you some alternatives that will be less complicated (and less expensive) than setting up a proxy machine.
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