Proxy server:

A proxy server is designed to restrict access to information on the Internet. If, for example, you do not want your users to have access to pornographic materials, a proxy server can be configured to refuse to pass the request along to the intended Internet server.
A proxy server operates on a list of rules given to it by a System Administrator. Some proxy software uses list of specific forbidden sites, while other proxy software examines the content of a page before it is served to the requester. If certain keywords are found in the requested page, access to it is denied by the proxy server.
Technologically, there’s no substantial difference between a caching server and a proxy server. The difference comes in the desired outcome of such a server’s use.
If you wish to reduce the overall amount of traffic exchanged between your network and the Internet, a caching server may be your best bet. On the other hand, if you wish to restrict or prohibit the flow of certain types of information to your network, a proxy server will allow you to do that. There are several different packages that will allow a System Administrator to set up a caching or proxy server. Additionally, you can buy any of a number of turn-key solutions to provide these services.