What is the role of Proxy Server?

A proxy server is computer that functions as an intermediary between a web browser (such as Internet Explorer) and the Internet. Proxy servers help improve web performance by storing a copy of frequently used webpages. When a browser requests a webpage stored in the proxy server's collection (its cache), it is provided by the proxy server, which is faster than going to the web. Proxy servers also help improve security by filtering out some web content and malicious software.

It act as an Intermediate btw client and main server ...

Proxy Server is Intermediate Server between you LAN AND WAN its is also used as a firewall 

We can Block site ,protocols and Ports 

its use for VPN clients 

Proxy server works like firewall, its functions include Caching, Content filtration, Anonymity, Security. The request from user is filtered before going to internet and vice versa. User uses web browser to send request, which uses proxy server as filter to show results. Most of the Organisations prevent employees from surfing facebook, youtube, any gambling sites inside the organization with the help of proxy servers.

 Proxy server acts as an intermediary for requests from clients seeking resources from other servers, also proxy server that enables you to bypass filters and firewall restrictions on some websites