proxy = another computer you connect through, to access servers (e.g. proxy server for your internet, gaming, masking your ip, etc)
-- what difference is there?
behind your proxy, your ip will be *their* ip
your *real* ip however, is assigned by your isp.
so, if you're using a proxy (say if you're having connection probs with the net and you want to use icq, you can use a proxy server)
there are other uses, but basically, it will allow you to access websites, icq, irc, whatever (as a means to bypass your firewall and what not)
all in all, if you dont need one, then you shouldn't worry about it.
unless of course, you're up to some shifty business *looks around*
in summary,
what does it mean if you're behind one?
it means that you're able to use the things that you're currently using, e.g. if you use a proxy for browsing websites, then it'll let you surf the web.
how is that any different to your original/real ip?
well, if your ip is blocked, or if you're behind a firewall that doesnt allow you to connect to X site, or Y service, then you can usually configure your application to run via a proxy server.
hope that clears it up