These are two different forms, but they serve similar purposes. A living will expresses your preferences about treatments should you be unable to communicate with your family and doctors. If you'd rather not be kept alive by extraordinary means for more than a month, for example, you can make those wishes known. Contrariwise, if you want your life prolonged by any means available, for as long as possible, no matter what your condition, you can make that clear, too.
A health care proxy gives someone else the power to make health care decisions for you if you become incapacitated. Many hospitals provide these forms free of charge.