Simplistically - a proxy server is a server (a computer system or an application) that acts as an intermediary for requests from clients seeking resources from other servers, and what it ultimately does is generally provide anonymity to you. In layman's terms, you connect to it, then it makes the query, or fetches the webpage you are wanting to view FOR YOU. This means the webpage saw its IP address, and not yours. Now, subsequent to that, this does not mean you cannot get a virus or malware planted on your computer, it simply makes requests for you, it generally doesn't filter your info going in and out from your PC to a Server/Webpage. (Personal message me if you want more Proxy details, there are some that can keep you quite anonymous i.e. the one that hackers use to help remain hidden)
In your case, you may very well have Malware on your computer, which can actually do things such as observe what you type and send info back to someone who will use that. Or, you inadvertently accessed a Website whereby you entered your email address and perhaps used a password on that site that's the same as you use for the email account (believe me, a lot of people use the same password for many things, BIGTIME MISTAKE)
By rights, best rule of thumb, you have 2 email addresses, you use ONE for PERSONAL/BUSINESS, and your Second is used for when you visit websites that require an email address that is not important to you (i.e., wanting to get daily horoscopes sent to you, or something to that effect) This generally will shelter your REAL email address from getting into the wrong hands