What is a Web Browser?
A web browser is the software program you use to access the graphical portion of the World Wide Web (Google Chrome, Mozilla Firefox, Safari, etc.)
What are "cookies" and "cached files?"
A "cookie" is one or more pieces of information stored as text strings on your machine. A web server sends you a cookie and the browser stores it. The web browser then returns the cookie to the serve the next time the page is referenced. Cookies are little text files that a web server can store on a user's hard disk. Cookies allow a website to store information on a user's machine and later retrieve it, allowing for more efficient connections to frequently visited web pages.
"Cached files" is essentially just another term for cookies.
What is a Proxy?
A proxy is a setting which is a gateway that relays one internet session to another. Proxy settings are not very common and this setting usually needs to be removed.