Spybot +AV has its own web proxy server that protects your system against malicious websites and cookies. If this feature is enabled it acts as the default system proxy and access to the Internet will use the Spybot proxy. The Spybot proxy sits between your browser and the server that hosts the website you requested so any traffic from the website must pass through the proxy before arriving  at your system.

Spybot proxy allows to use connect to other existing proxies as well, and will set itself up accordingly to connect to a previously set up system proxy.