Accessing data from a localhost proxy

I was wondering, when you set your browser's proxy setting to localhost, how do you access that information through a program? In PHP would you open a specific stream, or would you open a socket on 127.0.0.1 with the same port as the one you specified in your browser? Basically when you make your browser use a localhost proxy, where does the information actually "go"? Does the browser open a socket and send the information to whatever it connects to? If there has to be something listening on that port, what happens if two applications are listening to the same port? Do they both get the same data? Thanks in advance of my other thank yous, Plutarck