A proxy server is a system that caches items from other servers to speed up access. On the Web, a proxy first attempts to find data locally, and if it's not there, fetches it from the remote server where the data resides permanently. (Compliments CNET)
If you have a Proxy server set up for somewhere other than the local Internet service Provider you are connected to, it can actually decrease the speed at which your browser downloads from the Internet.

If you have a Proxy Server set up in your browser and you wish to remove it, click on Edit in the menu and then click on Preferences.

Click on the arrow () next to Advanced so that it is pointing down (see image below). Click on Proxies. Make sure that Direct connection to the Internet is selected. Click OK for setting to take affect.

If you wish to setup a Proxy Server, click on Manual proxy configuration and type in either the FTP/HTTP/SSL/SOCKS URL or IP address and the Port number(s). Then click on OK.