A proxy server helps you to connect to a VPN or ssh server with high speed. Why use a proxy? A proxy server works by tracking caches use over the network. A proxy will initially act as an intermediary, simply passing the client's request on to the server and saving a copy of the requested cache. If the same client or multiple clients request the same cache before it expires from Squid's cache, Proxy can then immediately serve it, accelerating the download and saving bandwidth.