A proxy server is basically a server, which is used for the purpose of seeking client resources from other servers. It can be used for the purpose of:-
1. To improve corporate and institutional security.
2. Carry out sensitive works anonymously.
3. To balance traffic due to which your server doesn't crash.
4. For faster speeds and bandwidth saving.
If you are using torrent for downloading purpose then you will not only a proxy server, you also need a seedbox, which is a private server that only used for the purpose of downloading.
You can get it from that organization, who deals with the proxy server. You will have to choose the best server for better security.