An anonymous proxy server acts as a middleman between your browser and an end server. Instead of contacting the end server directly to get a web page, the browser contacts the proxy server, which forwards the request on to the end server. When the end server replies, the proxy server sends the reply to the browser. No direct communication occurs between the client and the destination server, therefore it appears as if the HTTP request originated from the intermediate server. The only way to trace the connection to the originating client would be to access the logs on the proxy server (if it keeps any). So an anonymous proxy server can protect your identity by stripping a request of all identifying information.