Can anyone explain that the proxy server prevent our data from hackers...
When you surf the Web without using a proxy server, your browser communicates directly with the Web server that hosts the Web page you wish to view. If you use a proxy server to visit a website, the proxy server acts as a gateway between your browser and the website's server. The proxy server receives your requests and forwards them to the site's Web server. In turn, the proxy server also accepts data from a site's Web server and forwards that data to your Web browser. Although you may secure your computer using a program such as Comodo Antivirus or Avast, you also have the option to use additional security using a firewall.
A proxy server is a server that recovers pages for you, giving just its very own character to the destinations it visits. Most proxy servers that are accessible for open use essentially enable you to surf sites on the internet without having your program type, IP address and other header data sent to the site you are seeing. Kindly don't mistake this to mean that there isn't a connection among you and that website site.