Can anybody suggest me what free version of linux server I can use as proxy server, mail server or domain server with visual interface. And learn how to use and configure servers. I have worked with windows.

Good? Scientific Linux, it's a RHEL clone. Or Centos, same thing.

Visual admin? Would you be referring to something like "webmin"?

http://www.webmin.com/

There are also plug n play server images, that require little or no configuration... and unfortunately I cant remember the website name.

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any distribution with LTS(long term service) releases will do, though the non-commercial ones favoured by professionals are Centos and Debian, though technically any distribution will do, distributions that use more stable versions as opposed to bleeding edge current versions and have a longer update release cycle that doesn't keep you updating the system constantly are preferable for a production server.
as for proxy/domain/mail?
you would want squid (proxy) sendmail, or postfix (mail transfer agent), and something like dovecot (pop3/imap), domain server? BIND visual interface? webmin
those programs will run on any distribution, so it comes down to what you are willing to support (or pay to have supported) and whether having the latest greatest versions outweighs the need to have something that has been out for a while and known stable. just my thoughts.

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classic answer:
There is no best distro. it depends on your configuration.

My Opinion:
Best distro for server is centos and of course last version. (centos 6.x)
centos have many facilities for administrators like easy service administration, good default iptables
configurations, installation on variety of hard drive interfaces and file systems (zfs,xfs, lvm ...)
next good distro is debian. but needs more configuration.

both are really stable and long release cycle.

configuring centos as a server is really easy and centralized in /etc/sysconfig
in debian is in /etc/

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You could try a ready to go solution such as Zentyal which is based on Ubuntu and has the features you are looking for.

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http://www.turnkeylinux.org/

For drop-in VM solutions, with minimal configuration, etc..

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