Hi Cain,
RFC and IDOC have been the traditional way to communicate an ABAP SAP system externally, the two protocols property of SAP. Some time ago the ABAP system can communicate externally with SOAP protocol (via SOAMANAGER transaction) you can take a WSDL and ABAP generate the classes for the communication automatically or you can expose an RFC as SOAP enterprise service.
With sproxy you will work with a SAP PI system. First of all you have to configuration the communication, this configuration can change if your PI system is a Dual or a Single Stack, more concretely if you will go to communicate with the java PI adapter or the ABAP PI adapter. Example to configure the connection:
JAVA (AEX adapter); Michal Krawczyk's blog Michal's PI tips: How do you activate ABAP Prox... | SCN
When you activate the ABAP proxy technology, you should test the sm59 connections.
Later you can develop your first ABAP proxy, client or server. The client will be easier but you need to have develop a PI scenario. You can find lot of links:
Configuring a Consumer Proxy - Developer's Guide - SAP Library
ABAP Proxies in XI(Client Proxy)
**************** - ABAP Proxy Communication Scenario (Client Proxy)
ABAP Client Proxy to ABAP Server Proxy Scenario - Process Integration - SCN Wiki
Hope this helps.
Regards.