The use of a proxy server is not mandatory for computers on a corporate network to access the internet. A firewall that uses network address translation can provide every single computer connected to your router with internet access using a single IP address given by your internet provider. Those computers can then browse the internet without limits and without the use of a proxy server. There are advantages to putting a proxy server in place as opposed to letting computers run wild with unrestricted internet access.
Direct internet access presents multiple security risks not only for the computer browsing, but also the computers connected to the same network subnet. An infection can spread to other computers on the same subnet as the infected PC, so the isolation of computers browsing the web from the dangers of doing so is of high importance and a proxy server can provide such protection. Instead of making direct contact with target web sites, the client computer makes such requests to the proxy server instead. The proxy server then acts on behalf of the end user, contacting the web site and asking for data that is then handed off to the initial computer that made the request.
The difference is, the data presented back to the computer making the original request has the opportunity of being filtered by the proxy server. The data itself may be filtered, or the site itself may be blocked altogether if the proxy server deems it unsafe by reputation or rating. This filtration prevents unwanted information, in the form or viruses, spyware or other malicious attacks from being able to affect computers visiting infected sites. That is the single most beneficial features of employing a proxy server: Its ability to protect the assets of your company network by isolating them from outside contact is the primary draw of using a proxy server.