Mohamed, imagine, A and B are fighting.
And both A and B have powerful allies, C and D.
C is helping A, D is helping B. Both C and D are more powerful than A and B.
Then you can say that C and D are fighing with each other too. But they do not do that directly.
The word 'proxy' usually means 'in place of'; for example, "He will vote for me as my proxy."
So a proxy war is one in which a war may be instigated and (or) fought without the instigator being directly involved. The people (or country) doing the fighting may be getting support (weapons, financial, supplied, etc.) from the people or country that started the war.
A lot of time proxy wars are fought to keep the blame away from the instigator.
Hope that helps.
The Vietnam War is a good example. China did not actually send troops, and the US never fully committed all the men or material it could have. As I was growing up I was told we were helping South Vietnam to stop the spread of communism.
If I get too political, it will get deleted. The Vietnam war is still an open sore in America. Wikipedia has a very good discussion.