It's pretty straight forward. See this entry on the wiki:
What is a web service proxy? Well a few years back in the hey days of SOAP, software development tooling included tools which you could point to a WSDL file and generate a file or set of files provided needed code to call the SOAP endpoint. These files were typically included in your application calling the SOAP endpoint. This was convenient as it provided a means to avoid having to handcraft code to build SOAP XML envelops and pass in the correct parameters and or create data types which were part of the signature or interface of the remote API being called. In those days is was normal for each application to generate their own proxy and include it as a 'client' in their application.