The DBGp proxy is a solution for the situation when there are multiple developers that need to debug the same application on the same machine. Each developer from the team connects to the proxy and when the debug session is initiated, Xdebug connects to the proxy which then sends the connection to the right IP address - the correct developer.
To download and configure DBGp proxy server please follow STEP 1 - Download and install DBGp proxy and STEP 2 - Ensure Xdebug is installed and configured on the server of the tutorial on Multi-user debugging
Configure VS Code to use DBGp proxy
Please see launch.json on how to configure DBGp Proxy in the VS Code debug launch configuration.