The proxy server is combined with a firewall for additional protection. The job of the proxy server is to retrieve requested web pages and send it to the requesting computer. The proxy server is like a messenger where the sending computer never interacts with the requesting computer and vice versa. This can help make your Internet connection efficient because the proxy server caches the web pages which allow it to load faster next time.

A DMZ or DeMilitarized Zone is an area outside of your firewall. It is like an unsecured area where you can allow items which do not need protection to remain. To setup the DMZ for multiple computers, just place one of the computers between the Internet access and your firewall. Some new firewall applications allow users to designate a directory on the gateway to act as DMZ.