A proxy maintains anonymity, i.e. the server replies to the proxy thinking that it is the client. now after receiving the reply fro the server, how does the proxy server forward the reply to the computer that originally made the request?
The client establishes connection with proxy server and proxy server establishes connection with web server. The client sends his requests via his connection with proxy and receives the replies via same connection.
As for anonymity, not all proxy servers maintains it. Proxy servers can include a header like