Basically it is a collective work interface, Proxy will be created in XI/PI level, once they activate it in XI/PI, in SPROXY Tcode it'll be available in R3 system . again we have to activate the proxy then Proxy will be having method, in that method we have to write our code.
Pls check this, you'll get some idea on Proxy implementation
http://wiki.scn.sap.com/wiki/display/SI/ABAP+proxy+provider+implementation+and+testing
