There are two types of proxy in SAP;

1. Java Proxy

2. ABAP Proxy

ABAP Proxy - generates the classes and structures for interfaces and data types writted in WSDL, imported through the http connection from the web services;

When you have ABAP Proxy; it is just simple to understand, you directly connect to the webservice, therefore no integration server is necessary for such a communication; Whenever you want to handle a incoming data in a different way to standard generated process; you can go and change it directly. The transaction is SPROXY;

I used ABAP Proxy between XI and SRM; This proxy will be used in the application system (SRM);

So, outbound message interfaces are client proxies and inbound message interfaces are server proxies.

The message interfaces can be sync or async.

For more information please refer to

http://help.sap.com/saphelp_nw04/helpdata/en/86/58cd3b11571962e10000000a11402f/content.htm

Please reward points if useful.

Thanks

Kasee Palaniappan