Proxies are interfaces, which will get executed in the application system. They can be created only in the system from message interfaces using the proxy generation functions. You can use proxies for systems with WAS >=6.20.
XI will communicate in native language with SAP systems via proxies. Proxies uses XML - SOAP based communication for both ABAP and Java Proxies.
Adapters will convert one format into another expected/target format. means from SAP standard formats and as well as 3rd party formats to target formats