A VPN is quite similar to a proxy. Your computer is configured to connect to another server, and it may be that your route web traffic through that server. But where a proxy server can only redirect web requests, a VPN connection is capable of routing and anonymising all of your network traffic.
A proxy server, also known as a proxy or application-level gateway, is a computer that acts as a gateway between a local network and a larger scale network such as the internet. Proxy servers provide increased performance and security.
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