What is Proxy and how to generate proxy for WCF Services?

The proxy is a CLR class that exposes a single CLR interface representing the service contract. The proxy provides the same operations as service's contract, but also has additional methods for managing the proxy life cycle and the connection to the service. The proxy completely encapsulates every aspect of the service: its location, its implementation technology and runtime platform, and the communication transport.

Proxy can also be generated by using SvcUtil.exe command-line utility. We need to provide SvcUtil with the HTTP-GET address or the metadata exchange endpoint address and, optionally, with a proxy filename. The default proxy filename is output.cs but you can also use the /out switch to indicate a different name.
SvcUtil http://localhost/MyService/MyService.svc /out:Proxy.cs

When we are hosting in IIS and selecting a port other than port 80 (such as port 88), we must provide that port number as part of the base address:
SvcUtil http://localhost:88/MyService/MyService.svc /out:Proxy.cs