Proxy servers are capable of performing many complex tasks; but for the general computer user, a proxy is used for one thing -masking an IP address. What is an IP address? Basically, an IP address is a unique number (variable) that every computer is assigned, if it uses the internet. IP addresses are used by the internet to route data specifically for your computer. Every computer is assigned a unique IP address. IP addresses basically hold two types of information. Where your computer is at, and who your internet provider is.
Proxy servers allow you to go through them in order to mask your computer info. Once you are connected to a proxy, it filters your IP address and masks it as a different IP address (whatever address the proxy is set to use).
Can you use proxy servers? Of course. The main downfall of most proxys is that they slow down your internet connection. Web pages will not load as fast due to the fact that the data is being filtered each time you request a web page. Proxy servers are actually quite simple to use. All that is required is that you find a proxy, enter the information about the proxy, and activate it. There are proxys all over the world that are free to use. You can even have your IP address show up as a computer from a different country.