A proxy is a separate server or computer that you connect to, which in turn connects to the internet. This effectively camouflages your IP address and the origin of your internet traffic. While the functionliaty is similar, a proxy is NOT the same as a VPN tunnel.

VPN connections require an active tunnel between the VPN client and server. If this is tunnel is broken, then you can't reroute your data through the server. A proxy can sit idly by and wait for any connections. Not much changes on your system when you use a proxy, you're simply changing where your traffic goes first. A VPN tunnel requires a network adapter and a client but can offer more security than a proxy would.