Ok, if a proxy is configured right, the way it's set up is like this:
you <-Link A-> proxy <-Link B-> server
Any traffic sniffed on Link A will show two IP addresses - yours and the proxy's. That's
all the conversation there is - nothing between you and the server. Any conversation on Link B, unless the page itself somehow asks your computer for its IP address, will only show the proxy's IP and the server's IP.
Not sure exactly how "ip-to-location.com" works, but I went there with
www.anonymizer.com and it didn't pick me up at all. Personally, I think either the proxy you were using wasn't all it was cracked up to be, or else something weird happened.