If I am covering the right thing, then it doesn't seem to do anything at all. Is it an almost invisible component next to the front-facing camera, on the way to the speaker?

Sorry if these are silly questions; I didn't even know there was a proximity sensor until now!

Here is what I just did:

I dialled into my voicemail. The screen went blank as I initiated the call. I then used the slider switch to light the screen back up while the call was in process.

Basically, covering or uncovering the proximity sensor didn't seem to do anything at any stage of that process.