Answer by CodeCaster for How http proxy clients work

When you want to issue a GET request to http://www.example.com:8081/index.html, the browser connects to www.example.com:8081 and sends the following request:

GET /index.html HTTP/1.1Host: www.example.com:8081

Now when a proxy is configured, say www.proxy.com:80, the browser will connect to www.proxy.com:80 instead, and issue the following request:

GET http://www.example.com:8081/index.html HTTP/1.1Host: www.example.com:8081

So when a proxy is configured, the HTTP client connects to the proxy instead of to the target server, and sends the request using the absolute URI.