Yes, it has got pretty confusing.
First, proxies. In simple terms, every computer connected to the internet has its own unique internal internet address. That address effectively includes the country in which you're connecting to the internet. The address is "visible" to any internet site to which you connect, so the site knows where you are (as well as who you are). That's how you can be blocked from downloading certain things that are not available to the country from which you're connecting.
A proxy program effectively hides your computer's internal internet address by directing your connection through another address altogether, which can be based in another country. As far as the internet knows, that other address is your internet address, and you are connecting to the internet from that other country.
The main purpose of proxy programs is privacy on the internet. They allow you to surf the web anonymously. In theory, no one knows the truth of who you are or where you are. Hackers, for example, cannot reach you.
Unless you're paranoid about security, you don't need to worry about proxy programs. Macs, especially, already have plenty of built-in security.
Now, one of the side benefits of the internet thinking you are based in another country - eg, the US - is that you are tricking US-based web sites into thinking you are eligible to download things that are available only to, in this case, the US.
Apparently I was wrong when I said we hadn't tried accessing US TV via Hotspot Shield and Hulu.com. My wife tells me she did. It seems that one of the keys is to quit the Anchor Free (Hotspot Shield) application after you have connected to Hulu.com and are watching your program. Leaving the application running apparently slows the stream.