The website will automatically bid on your behalf up to your nominated maximum bid amount. When you are outbid, you will be notified by email (if you have chosen to receive outbid notifications). If there is a proxy bid on an item, and your bid matches the maximum of the proxy, then the proxy will remain the current bid. To beat the proxy an additional bid will need to be made.
When you place a bid on an item you may be outbid immediately. This is because someone else has entered a higher maximum bid amount than you.