A proxy server forwards your requests to websites, so the sites see the proxy’s IP address. Unlike a VPN, a typical proxy does not encrypt the traffic between you and the proxy, and often applies only to specific protocols like HTTP.
Proxies are useful for accessing content, caching, and privacy from individual sites. They are not a substitute for a VPN when you need encryption of the whole connection.
Proxies and VPNs are often detected by the same heuristics — see our VPN Check tool.