pretty much the same thing, but a VPN changes your whole system ip, while a proxy is something you kinda "hide behind" when running clients.
if my normal ip is: 192.34.23.34 or something, then i can force a program to open with another ip with a proxy like: 197.324.213.23, like osbots proxy feature.
proxies are smart when you are goldfarming etc. or just running a lot of clients on your pc at the same time, and you want all of them to have different ip's.
idk how to explain this really, i just know how it works