One goes to a particular site and uses that site to connect to other sites. This is the basic proxy server.
Similar to using the Dark Web, which automatically takes you to wherever, and from there to another wherever before connecting to your chosen site, the standard Proxy server is a one shot.
We used it, and many still do, to give us an American I.P. When people thought we were American they responded to us with more respect.
In other cases, sites which limit access to particular nations can be used by those who don’t live in those nations.
It is a form of protection, because if one gets the I.P. address… well that is the address of the Proxy, and you are safe.