openlayers 2 - Why should we use a proxy script for Apache, Geoserver, OpenLayers2?

I can't understand why we use proxy (OpenLayers.ProxyHost) for WMS GetFeatureInfo request in OpenLayers. I am using OpenLayers 2.10, Apache-Tomcat-6.0.35 and GeoServer.

Why we use proxy? How should use?

I am new to web development.