A web proxy allows users to browse the internet anonymously by masking their computer's identity. It acts as an intermediary between the user's device and the internet, making it appear that all requests are coming from the proxy's location instead of the user's actual location. This allows users to access sites that may be blocked by their network or government. While many free proxy sites exist, they often get blocked as well. The article recommends trying multiple proxy sites until finding one that is unblocked to privately browse the web anonymously.