The use of a proxy server is certainly not a new concept. Server that run proxy have been around for a long time. In many cases, these are public proxy devices that allow access to anyone who would like to point their browser at them with the intention of anonymously browsing the web. This is useful because the web sites that a person visits while using proxy only see the address of that proxy server, not the user themselves. This protects your location and their computer from detection by the web site.
This same concept is also useful for an internal network situation. What better way to protect your computers from outside harm? Sure, you have a firewall in place, but likely you have ports open that allow outgoing connections to be made by computers. Those connections, once established, then allow mostly unfettered two way communication between the computer and the external server when a user browses a site. This still presents a security challenge, as that site can still exploit security holes or infect the computer with spyware, applets and other forms of infection.
The use of a proxy server will take away that direct access and protect the end user machine from most forms of harm. The only device making contact with external servers and sites is the proxy itself. It then hands off the filtered information to the end user. As a side benefit, you get excellent reporting capabilities to monitor internet usage, both in terms of time spent browsing per user and what sites they visited. You can also have the ability to lock certain things down, blocking web sites by content, for example. The only configuration change you have to make on computers is to point there browser to the proxy address. If you use domain group policies, this can be done for all machines in one location. It is a solid step toward increasing your network security.