I think we can split hairs and nitpick this a lot but... Nowadays most often setup is that you join a VPN (a very isolated one), and you use it for the same purpose as you would proxy. But from your machine's point of view, you're using a separate network for your default gateway. Using proxy is usually more involved, and you can configure it in your application. In fact, you can do both and sometimes it makes sense (like using tor socks proxy over vpn).