A proxy is a server used to route requests from your computer or application to the public internet. Is is a 'middleman' which can mask your ip address from the internet.
The following image summarises what a proxy is perfectly. It is simply a computer (server) routing requests between two computers (or servers).
Multiple proxies can be used to 'hide' your computer or original server, make your system anonymous and help simulate users - thus reducing your chance of being blocked.
For example, if you wish to scrape a million products and reviews from amazon.com - after just a few hundred requests from one IP address your scraper will likely be blocked. A network of proxies is therefore a must have for a successful scraper when scaling up and collecting a large amount of data.