What's a Web Proxy?

A proxy server is a computer that sits between your browser and the web site you're trying to visit.  It can do a number of things such as help with data security, make loading pages faster, keep access logs, etc.   It was put there either by your company if you're at work,  your ISP, or if you're at a hotel, by either the local hotel, provider, corporate, etc.

Unfortunately it can be used for evil purposes, either simply placing ads and other spyware activities, or real spying, reading your unencrypted traffic.

This article on SANS Internet Storm Center tells some more, really technical, information.   Contact me if you'd like more information.