If you are using apache as the web server, you can use a proxy file called proxy.cgi to get round the problem of cross-origin javascript security.
The following is taken from OpenLayers FAQs about the ProxyHost setting
Why do I need a ProxyHost?
Due to security restrictions in Javascript, it is not possible to
retrieve information from remote domains via an XMLHttpRequest.
Classes like WFS and GeoRSS use XMLHTTPRequest to get their data. If
they are querying a remote server (anything other than the machine
hosting your page), you must install a proxy script somewhere web
accessible on that machine. See below for how to set up your own
ProxyHost.
If the OpenLayers.ProxyHost variable is not set to a valid proxy host,
requests are sent directly to the remote servers. In most cases, the
result will be a security exception, although this exception often
occurs silently. How do I set up a ProxyHost?
An example proxy host script is available here:
trunk/openlayers/examples/proxy.cgi
For the standard Apache configuration, you would place proxy.cgi into
your /usr/lib/cgi-bin/ directory.
Once a proxy host script has been installed, you must then edit the
OpenLayers.ProxyHost variable to match that URL.
Given the above standard Apache configuration:
OpenLayers.ProxyHost = "/cgi-bin/proxy.cgi?url=";
If you have done something like this, you should be able to visit:
http://YourDomain.example.com/cgi-bin/proxy.cgi
The resulting content at that page should be the openlayers.org
website.
If you get a 404 error instead, either the proxy script is not in the
right location, or your webserver is not configured correctly.
A sample proxy.cgi file can be found here
If you are using something like tomcat/jetty for your web server, then you will probably use a jsp for the proxy file, an example proxy.jsp file can be found here