Proxies are low-resolution files, which are easy to handle in your timeline. If you have high-resolution video files like RAW or uncompressed video files, these heavy files are difficult to edit in software directly. So we replace them with proxy files while editing, later we can relink them to original media for exporting.
Final Cut Pro X and DaVinci Resolve have an inbuilt feature for creating optimized and proxy media.
In Adobe Premiere Pro there are such options inbuilt but you need to install Adobe Media Encoder to use them.
One thing to keep in mind - You need to install the same version of Media Encoder as Premiere Pro. For example, if you are using Premiere Pro CC 2020 then you have to install Media Encoder 2020.