A CONNECT request urges your proxy to establish an HTTP tunnel to the remote end-point.
Usually is it used for SSL connections, though it can be used with HTTP as well (used for the purposes of proxy-chaining and tunneling)
CONNECT www.google.com:443
The above line opens a connection from your proxy to www.google.com on port 443.
After this, content that is sent by the client is forwarded by the proxy to www.google.com:443
.
If a user tries to retrieve a page http://www.google.com, the proxy can send the exact same request and retrieve response for him, on his behalf.
With SSL(HTTPS), only the two remote end-points understand the requests, and the proxy cannot decipher them. Hence, all it does is open that tunnel using CONNECT, and lets the two end-points (webserver and client) talk to each other directly.
Proxy Chaining:
If you are chaining 2 proxy servers, this is the sequence of requests to be issued.
GET1 is the original GET request (HTTP URL)
CONNECT1 is the original CONNECT request (SSL/HTTPS URL or Another Proxy)
User Request ==CONNECT1==> (Your_Primary_Proxy ==CONNECT==> AnotherProxy-1 ... ==CONNECT==> AnotherProxy-n) ==GET1(IF is http)/CONNECT1(IF is https)==> Destination_URL
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