Use a proxy servver to connect to internet

Hello friends!!
I was trying to install cakephp and to install the composer setup 4.5.0 their ask me to use a proxy server to connect to internet. So I want to know what is proxy server and how to get it.
Thank you for responding to my request

For keeping it short and simple: a proxy is the middlesman between two computers, that are communicating with each other.
If u want to build an application with cakephp a webserver, for example Apache, is necessary! Free and easy to use are XAMPP for Windows or MAMP for OS X or LAMPP.

Have fun!