-washington post: http://www.washingtonpost.com/wp-dyn/content/article/2006/04/12/AR2006041201968_pf.html
No, damnit, a proxy is a piece of software (or, occasionally, hardware), that passes data for you. It does NOT erase digital footsteps, such as web addresses (which, unless you mean on your local machine, really isn't a "footstep") or other identifiable information: if you submit your name in a form, it won't strip that out. Some proxies are designed to do the above, but not all are.
::facepalm::
