What is a proxy for internet and what is it used for? How is it downloaded and which is the best/safest one for using on the Macbook Pro?

A proxy is a computer that is operating in a fashion so as be a middle man in your internet connection.

Imagine you send somebody to the store, to buy stuff for you, they're your proxy.

Without knowing what you want to do, I can't answer on that last part.

A total waste of time. They are supposed to hide you, they do NOT. If they could return packets to your machine without marking the outgoing packets with identifiers from your machine it could protect you. But you would not get any replies then. And most sites treat you with suspicion if you use one as mostly they are used for illegal purposes.