Biggest difference - proxies are configured on the software level (in your browser or torrent client), VPN's are virtual connections that show up in your network connections.
Proxies mainly work off a browser, and a few programs. VPN secures an IP address of your entire internet access....so any program running on your computer is going to see the IP from the VPN.
There are software for Proxies that makes the proxie work like a VPN.