A MySpace Proxy is just a term for a proxy Web site that is compatible with MySpace. Some anonymous proxies do not cooperate with MySpace and other sites that require complicated sessions or advanced scripting.
A proxy is a server that allows connections to other resources through it's own resources. A proxy server accepts a request from the client, then performs that request on their behalf, returning the response. This allows network users to interact with other resources indirectly and often anonymously.
There are many different types of proxy. The most common and the one we talk about here on MSPS are Web proxies, also called an HTTP proxy. Other proxies include intercepting proxies, reverse proxies, split proxies, circumventors, and implementations of these types like SSL and anonymous proxies.