What is the difference between a VPN and a proxy?
A proxy reroutes traffic for a single app or browser and usually encrypts nothing. A VPN encrypts all traffic from your entire device. For privacy and security, a VPN is the more complete tool; a proxy is at best a quick way to switch location.
Both techniques route your traffic through another server, so websites do not see your real IP address. That is where the similarity ends. A proxy works per application: you configure it for your browser or one program, and everything else on your device bypasses it. Most proxies also skip encryption, so anyone on the network can keep reading your traffic.
A VPN works at the system level: every app, every background service, and every browser on your device goes through the same encrypted tunnel. There is nothing to configure per program, and the protection covers traffic you never think about, like app updates and sync services.
Free proxy services share the same problem as free VPNs: someone pays the bill, and it is usually you, with your data. If you are serious about it, a paid VPN at a few dollars a month is the answer.