Proxy Questions?

I just found out that my son used a school computer, enter a proxy address and bypassed the schools parental controls. OK, I thought I was pretty savy when it came to PC's but now, damn...Can someone please explain to me what this actually is and how do I find a list of these websites so i can make sure they are blocked. I use AOL at home with web block. I have not tested it YET to see if AOL has blocked proxies, but I plan on doing it this weekend. Any feedback would be great.