I would like an actual proof of how it works...
Most of the websites just give formulas and explain how to calculate the volume but that's not a proof.
Well, that is a little bit of a problem. You can find proofs that, say the method of cylindrical shells and the method of disks give you the same answer. To PROVE that that is volume you'll need a rigorous mathematical definition of volume. What is it? I'm not sure it would be useful to you at a calculus level.