Why proxy?
To hide the IP address of the client computer so that it can surf anonymous, this is mostly for security reasons. A proxy server can act as an intermediary between the user's computer and the Internet to prevent from attack and unexpected access
String PROXY = "localhost:8080";
org.openqa.selenium.Proxy proxy = new org.openqa.selenium.Proxy();
proxy.setHttpProxy(PROXY)
.setFtpProxy(PROXY)
.setSslProxy(PROXY);
DesiredCapabilities cap = new DesiredCapabilities();
cap.setCapability(CapabilityType.PROXY, proxy);
WebDriver driver = new InternetExplorerDriver(cap);