This is an optional field allowing you to specify the address of a HTTP proxy to use for all web traffic over this connection. Carriers sometimes use HTTP proxies to modify websites for your device, or to improve the speed of commonly access web pages and resources by caching them.
It's relatively rare for a carrier to require that you use an HTTP proxy for your connection. In addition to this, many carriers use HTTP proxies that don't even require this field to be set, known as transparent proxies.
As always, consult your carrier's recommended APN settings to see whether they recommend that you add the address of their proxy server into this field. Many carriers won't use or require a proxy, meaning this setting should remain empty.
The address given may be an IP address (for example, four numbers with dots such as 10.0.0.1) or the hostname of the proxy server.