A proxy can be set up to work system-wide, so programs wonít be able to bypass it
Itís the proxy thatís connecting to the server, not you, so your IP isnít disclosed. It compresses your traffic to save some bandwidth and the cache files to give a little boost to the page at the loading times. Proxies block the malicious websites and strip ads from websites before they reach your computer, and also used not only for against filters, but also as a filter!
Act as caching server to make you load a webpage faster.
Disadvantage of Proxy Server:
All data came through this server, if this server was compromised itís mean that all user use the server has possibility information theft.
If these proxies were located at Internet Service Provider, Campus and School and thereís a bad employee or staff inside, itís also possible data theft happen. And sometimes this bad guy will know you more than yourself
Conclusion

So, if you want to use proxy make sure you use the trusted proxy. Usually user from China, some Arabic country, North Korea, etc theyíre too desperate because of too many website blocked by their government firewall, so they forget to think about the security.
NEVER log in account using HTTP (http://XYZ.com/login.php) when youíre using a proxy (especially unknown proxy server), and If thereís no choice to do that, donít forget to change your password as soon as possible.
Proxy server used by cracker to masking their ip address when performing the attack makes sure you didnít fall into fake proxy trap because every proxy server habitually will record your real IP address.
Be wise to use this proxy service and also be carefulÖ.keep your eyes open