For one thing, proxies are only web based. Which mean they are for viewing websites only and do not offer full internet access for using emails, icq, msn, games etc. With VPN all your internet traffic goes over a secure connection. Secondly, most anonymous web proxies steal or store your login details to any site that you visit. This is because any website you visit (for example Hotmail or PayPal) is passed through the proxy service and most of these sites are run by fraudsters who capture all your data and empty your accounts. Use a trusted VPN provider and you will be safe.
No software to download or install!
VPN does not require any special software. All Windows PCs and MACs have VPN software already installed, also iPhone and Windows Mobile devices include vpn client software. All you need to do is to create a connection through the control panel, enter your login details and click Connect. Then all your internet surfing will go through the secure tunnel. Your ISP or network administrator cannot see what sites you access and you are safe from online attacks on your IP address. Some providers offer OpenVPN, this is a type of vpn that is based on SSL technology but requires that you download and install a special software.OpenVPN is a good solution if you cannot use PPTP or L2TP on your network.