The function of a proxy server in internet security is to act as an intermediary between client devices and the internet. It receives requests from clients, forwards them to the desired web resources, and retrieves the responses. This setup offers various security benefits, such as hiding the client's IP address, improving privacy, and enabling content filtering. Proxy servers can also provide caching to enhance performance and optimize bandwidth usage. Moreover, they can enforce security policies, monitor traffic patterns, and prevent intrusions, making them key components in a secure network architecture.