AJAX Proxy 101

 Hi all,

So I've been reading a lot on this AJAX Proxies (found http://www.codeproject.com/KB/ajax/ajaxproxy.aspx very good). But I'm very green in most things ASP.Net let alone AJAX and need to get my head around what I need in a basic proxy and how I will have to change my javascript:

var xmlhttp = createXMLHttpRequest();
xmlhttp.open('POST', url, false);
etc.
Can anyone give me a run down/101? I'm especially interested in the changes in the JS and anything else that changes outside of the proxy.
Cheers,
Denis

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