The CONNECT method of the HTTP protocol is used for establishing a network connection with a resource through a proxy server. It is typically used for HTTPS connections where the connection needs to be encrypted as it passes through the proxy server. The CONNECT method first sends a request to the proxy server to establish a tunnel connection to the destination resource. Once the connection is established, the client can then send encrypted data to the server through the tunnel. This method is commonly used in corporate or restricted environments where the network does not allow direct access to external resources.