Every proxy has an IP address that identifies it. We need to start understand the IP address concept, it's an unique number used to identify every computer connected to the Internet.
Of course, this is only a very basic definition to give you a vague idea of this concept. For example, you can have a LAN with several internal IPs and only one "external" IP available to the world. The use of NAT is very common in this situations.
To obtain more but still very basic information about this you can visit the wikipedia, but if you really want to understand the internet protocol, try to find a good book about this.
This is important because sometimes you have a list with several IP proxy addresses and you change from a proxy IP to another looking for the fast or better one.
My recommendation here is that you download Firefox and change the network settings with your proxy ip address and port number there.
You can even use a plugin like FoxyProxy to help you to easily and fast change ip proxy address. At this way you can have several saved addresses and change IP when you need it.
Understanding Proxy IP address and port number. All you need to know to change ip proxy address.