Proxy Mail

Hi all,

What is proxy mail??
I received one such mail in my inbox which had mine address for both receiver add and sender add.
But when i viewed details of that mail it was sent not from my mail server of website but some other site i didn't knew...
It's like annonymous mail. But i want to know how does it works??

I hope i am posting the topic in right section or please feel free to change it to correct section...
Thanks in advance

Cheers..
~Ping