Understanding the concept of proxies first need little introduction about IP Address structure.
IP Address: It is assigned when you connect to internet and gives idea about where your locality can be. Means if you perform some attack on private network your geographical location can be traced quickly with the help of your IP.
Proxy: As the name indicates it hides you from other internet users so that they can not track you
Proxies assign fake IP for your system than you actually have. So that if someone is going to track you gets decepted. If you in stalled a Russian proxy on your system you are treated as user from Russia on net.
Its not like you can not be traced back by any means. There are proxy experts who
can notice that you are behind a proxy but they will waste there time only if you have committed a serious crime. So BE AWARE.
You can also mislead the tracker by using multiple proxies so tracer will need more tie to get you.