These are where you can have a LOT of items in your Max scene without actually having them there! Confused? Watch & learn...
The Max help files say: The mr Proxy object is intended for use in large scenes to be rendered with mental ray. This object type is useful when scenes contain many instances of an object, such as an auditorium with hundreds or thousands of instances of a seat model. It is also particularly useful for objects with extremely high polygon counts, in that it obviates both the conversion to mental ray format and the presence of the source object at render time, thus saving time and freeing up a great deal of memory for rendering. The only drawbacks are the reduced fidelity of the proxy object in the viewports and the inability to edit proxies directly.
Remember... If, as a kid, you were made to walk the plank, it's probably because your folks couldn't afford a dog!