What is a proxy server?
A Proxy server is a computer that connects two other computers - client (you) and server (website or network service). All connections from client to server go through proxy server - client connects to proxy server, proxy server connects to server, server sends information to proxy server, proxy server sends information to client. Client sends no requests to server directly, all requests are passed to proxy server.
Proxy servers can be used to increase speed of your internet connection, because proxy server can save all requested resources. If someone requests resource (web page) that has been requested before, proxy server don't have to connect to original resource, proxy server just gives you a copy of resource that was saved before.
Proxy server is often used to hide IP address and other private information about you and your computer. When client connects to server through anonymous proxy server, proxy server doesn't send any info about client, so it stays anonymous.
Usually proxy servers support only HTTP protocol, but SSL proxy server supports HTTPS protocol also. It means that you can connect to secured sites through SSL proxy server.
IRC proxy servers are mostly used to connect to IRC (Internet Relay Chat) servers. IRC proxy servers support connect method, so you can connect to different services - IRC, ICQ, AIM, MSN, Skype.
Socks proxy servers are undetectable when you surf internet. If you visit a web site with simple anonymous proxy server, which sends some proxy variables to server, then the web site can detect that you are using proxy. But if you surf internet using socks proxy, then web sites can not detect that you are using proxy. Socks proxy server can connect to TCP and UDP protocol. If a program can not connect to internet using proxy and you would like to work with this program using proxy server, then you can socksify your program and it will work anonymously through socks proxy server.