A proxy is used to share and manage internet connections. If you have only one PC on a network with an internet connection then this is a method of enabling the rest of the network to use this connection and all have internet access. If your network already has internet access then implementing a proxy can be beneficial as user and browsing access can be managed.
If you are simply looking to share an internet connection and agree that Microsoft's built in feature 'Internet connection sharing' is not the most user friendly thing youve ever attempted, then you have to get over to analogx.com and get their free Proxy software.
You install the utility on the PC with the internet connection, run the application, enter this PC's primary network address as the 'Proxy Binding' address and your proxy server is setup! (In the screenshot my PCs IP was 10.0.0.1)