The legality of using a proxy depends entirely on your location and your employer/school's Acceptable Use Policy (AUP).
If the main CroxyProxy site is also blocked, these other methods are frequently used: youtube unblocked croxyproxy
To your school or office firewall, it looks like you are just visiting a harmless proxy website, not streaming a music video or a tutorial. The firewall cannot see the actual YouTube content because it is wrapped inside the CroxyProxy connection. The legality of using a proxy depends entirely