The answers provided at box around theorem statement by cmhughes should be useful. This is a slightly different layout which is taken and modified from the mdframed documentation.
\documentclass[11pt]{article}
\usepackage[framemethod=tikz]{mdframed}
\mdfdefinestyle{proofstyle}{%
linecolor=red,middlelinewidth=2pt,%
frametitlerule=true,%
apptotikzsetting={\tikzset{mdfframetitlebackground/.append style={%
shade,left color=white, right color=blue!20}}},
frametitlerulecolor=green!60,
frametitlerulewidth=1pt,
innertopmargin=\topskip,
}
\mdtheorem[style=proofstyle]{proof}{Proof}
%% \mdtheorem[style=proofstyle]{proof}{\itshape Proof}
\begin{document}
\begin{proof}[Some heading]
content of proof goes here
\end{proof}
\bigskip
\begin{proof*}%%[Some heading]
content of proof goes here
\end{proof*}
\end{document}

To remove colors, just comment out some lines like:
\mdfdefinestyle{proofstyle}{%
%linecolor=red,
middlelinewidth=1pt,%
frametitlerule=true,%
%apptotikzsetting={\tikzset{mdfframetitlebackground/.append style={%
%shade,left color=white, right color=blue!20}}},
%frametitlerulecolor=green!60,
frametitlerulewidth=.5pt,
innertopmargin=\topskip,
}

amsmathpackage your proofs will look like proper proofs. As suggested by others, it is not clear why you would want to box frame your proofs. You should make this clearer. I guess you want to frame them for some presentation. If that's the case, then I suggest you use thebeamerpackage, which will automatically do this for you. It comes with several styles for different kinds of frames/boxes and different colours for the forground and background of the frames. – Dec 29 '12 at 08:14