i want to write a simple proxy. I don't know what a proxy is. Someone please explain and give a simple http proxy code ?
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I recommend the Wikipedia article for a good overview of the proxy pattern. If you're talking about proxy servers then Wikipedia is still your friend - a proxy server is a special case of the pattern.
Look at the following links
Proxy is a software that is between the client and the server. For example the web browser requests for a web page the requests passes to the proxy then the proxy request the page and sends it back to the web browser.
How to create a simple proxy in C#?
http://msdn.microsoft.com/en-us/library/system.net.sockets.socket_members(v=VS.90).aspx
http://msdn.microsoft.com/en-us/library/system.net.sockets(v=VS.90).aspx
Read
RFC2068
and learn about socket programming in C#.