To answer your question bluntly, yes, proxy servers do work. You are more than likely not using one at all. The reason your IP address is different on the site is because that is what is known as your WAN (Wide Area Network) address. You're private IP address is different. Go to www.whatismyip.com
and see if it's saying the same address.
Proxies are designed to speed up the Internet in a sense, as they "cache" the Web sites you visit, for faster viewing later. When you go to a Website through a proxy server, it downloads that site to it, then to your computer. The next time you go to the same site, all it downloads is what has changed since the last time you went there. Proxies also can hide your IP address, if you want to stay unknown. For more info, check this out: http://compnetworking.about.com/cs/p...oxyservers.htm