On SneakBoxOnline I found a nice picture that shows how a web proxy works. As mentioned many times before on this blog, a web proxy acts as an intermediate between your computer and the site you are trying to visit. Learn how web proxies work.
When your computer requests a Web page, it is retrieved by the proxy server and then sent to your computer. The effect of this action is that the computer hosting the Web page never comes into direct contact with anything on your home network, other than the proxy server. Thus, your public IP address cannot be seen by the site that you visit.
Another important aspect is related to the ISPs (Internet Services Providers). By using web proxies you don’t hide from your ISP! They will still be able to see what you are browsing.