Technical explanation: Proxy objects are placeholders for custom objects that are created by ObjectARX applications in such programs as AutoCAD Architecture (ACA, formerly known as Architectural Desktop). Basic explanation: In the originating program, these objects carry additional data or properties that are not supported in plain AutoCAD.
For example, a wall created in ACA can have height, thickness, windows, etc. -- much more information than is displayed by the two or more lines of the proxy. Regular AutoCAD can copy or move these objects, but they can create problems for xrefs or osnaps. If that is the case, the best thing to do is explode the proxy object. (I know...I said "explode"...shocking, isn't it?) However, you have to be careful, as the "intelligence" of these objects is lost when you explode them, and sometimes adds lines where they weren't before.
In short, the best thing to do with a proxy object is to ignore it, if you can. If you can't ignore it, ask the person who sent you the file to "Export to AutoCAD" before they send it. This will strip out the custom information and let you use the file more easily.