VPNs and proxies can accomplish many of the same goals, but they are not the same thing.
A proxy works by directing traffic for a specific connection on a device through a remote server. For example, proxies can be configured within browsers, download clients, and other software. When you do this, only the connection for the specific software will be affected by the proxy. Some proxies, unlike most VPNs, do not add any security to the connection.
A VPN typically directs all traffic on the device through a remote server, and always uses some form of secure encryption. This will mean that all browsers, download clients, game clients, and anything else which relies on an Internet connection, will be connecting through the VPN connection - securely.
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