server log file entry -- CONNECT

[Larry K]

anyone know what this is? what's it doing?

this came from my raw server log file on a site of mine

219.134.232.181 - - [15/Sep/2005:14:30:38 -0400] "CONNECT 66.94.230.45:80 HTTP/1.1" 200 5835 "-" "-"
219.134.232.181 - - [15/Sep/2005:14:30:40 -0400] "GET / HTTP/1.1" 200 0 "-" "-"
219.134.232.181 - - [15/Sep/2005:14:30:40 -0400] "GET http://www.yahoo.com/ HTTP/1.1" 200 5882 "-" "Mozilla/4.0 (compatible; MSIE 5.00; Windows 98)"


What is the "connect" do?
what are they doing with yahoo?

thanks