A proxy is a third computer that allows communication between two other computers by forwarding requests between them. There are three main types of proxies: forward proxies receive requests from an internal network and send them externally, open proxies forward requests between anywhere on the internet, and reverse proxies receive external requests and send them internally without external users knowing the internal network. Proxies provide security advantages like hiding internal clients, blocking dangerous content, and acting as a single point of access, control and logging.