A proxy server is an intermediary computer that sits between your device and the internet. When you send a request through a proxy, the proxy forwards it to the destination server using its own IP address. The destination server sees the proxy's IP, not yours.
This masks your real location, allows you to appear in a different country, and can bypass restrictions imposed by networks or websites. Free proxies work exactly the same way, the only difference is that they are operated by third parties and shared among many users simultaneously.