By using a proxy, you are allowing another user to vote witnesses on your behalf. If they vote on a witness, you will vote automatically as well. If they un-vote a witness, the same will happen. This allows you to delegate your witness votes to someone you trust if you are unable to decide on witnesses or do not want to put the time into deciding on quality witnesses.
You can remove your proxy when you are ready to choose witnesses on your own.
Excellent answer marky!
Ohhhh thanks @themarkymark... that really helps.