Proxy server necessary?

For my home network, what are the pros and cons of using (or not using) a proxy server? From what I've read, on this site and others, is using the proxy server will limit or eliminate pop-up ads and other anoyances. Before today the proxy server was on but I still have been getting plenty of unwanted pop-up ads and similar distractions.

This question came up because I am having trouble accessing my modem's configuration using 192.168.0.1. I get a proxy server or firewall issue pop up. I turned both off and I still can't access the site. But that is a different question.

Thanks Samuria. I need to do some homework on this topic (proxy servers) before I ask a question. Sorry for this but I do appreciate your response.

Samuria said:

Is this a proxy on the pc or internet? All a proxy does is hide your IP it doesn't stop pop-ups or anything else it's purpose is to get content blocking by country. If you browser is set to proxy you have to turn it off to reach local network

Wrong. A proxy does more than that. Forward proxies hide your actual IP address and give you a "temporary" one, they also cache websites so in a way they "pre-load" websites which can, especially in an enterprise setting, save a lot of bandwidth; however proxies do not encrypt the traffic, which VPNs do on the other hand.

Reverse proxies, on the other hand, inject themselves "in front of" the web server, hiding its actual IP address., and they also do caching.