Proxies are generic cards that normally stand in for villains and henchmen when multiple copies of those cards are needed in a scenario. (When a scenario requires a single copy of a villain or henchman, a proxy won't generally be used.) Each scenario will tell you which proxies to use. Treat a proxy as if it is the card it's proxying.
Rarely, proxies may be used for characters. See the Character Proxies in Locations section for more details.