This first part is from another forum ... A proxy basically hides your IP address and lets you surf through the IP address of the server. A good proxy will offer other security features but this is the most basic thing you will need a proxy for.
That particular proxy is in part a source of filth and other stuff you would not want as far as I can ascertain - get rid!
Yes, you did the right thing.
I would run a full scan with MalwareBtyes or similar to be on the safe side.