Hi Lebron,
A proxy server for home setup is mostly pointless.
However, there are a few different purposes for proxy servers...one being as a firewall, so that nothing can go in or out. Another being a transparent proxy...it's there, but noone knows it's there - good for tracking what websites people are going to.
Find below a link that gives you a bit more information about them, and a quick guide on how to setup WinProxy.
How do I setup a proxy server?