No, my friend. A proxy is not a security device, per se. Metaphorically
speaking it's a castle wall behind which you hide. If your connection to
the internet is secure, you don't need a proxy.

That said, proxies can certainly be used as part of a security setup.
The idea is that incoming packets go first to the proxy and then to you,
so, for example, ad blockers can setup a proxy to strip ads from web
pages and then send you what's left. Or the (unneeded, IMHO) email
module of an AV app can setup a proxy to scan incoming e-mail before it
goes to you.

If you've got a simple NAT router between your computer and the internet
you've got a proxy-esque thing going, since the internet sees your
router and not your computer.

---
Leonard Grey
Errare humanum est

No Not really
I prefer you can connect to the internet without the proxy.
Even while doing any troubleshooting step for the IE 7
we uncheck the proxy server settings just because most times this causes the
issue with websites

Thanks,
Anish