The proxy server is a solution to connectivity problems with servers as well as clients. When a machine has an non NAT punchthrough capable router his connectivity options are limited. By using the proxy server the machine can be fully connectable but with the extra cost of having all traffic relayed through another server.
More informations about proxy server here:
http://docs.unity3d.com/Documentation/ScriptReference/Network-useProxy.html+ Network - Initialize Proxy Server
+ Network - Connect To Proxy Server
