what is proxy and what is the purpose in WCF ?

The proxy is a CLR class that exposes a single CLR interface representing the service contract. The proxy provides the same operations as service's contract, but also has additional methods for managing the proxy life cycle and the connection to the service.
 The proxy completely encapsulates every aspect of the service: its location, its implementation technology and runtime platform, and the communication transport.

Dear Vithal,

You are right. But tell me one thing 

i.e

When we want to use a wcf service in our application than we use the service url.

e.g

localhost:8562/service2/service2.svc

Now, tell me what is Proxy server and how and where to use it. And also brief it's advantages.

Thanks
Santosh

But in wcf we are hosting in server
are IIs, WAS and self hosting but we are not using proxy server.