These are two different forms, but they serve a similar purpose. A living will expresses your preferences about treatments should you not be able to communicate with your family and doctors. If you'd rather not be kept alive by extraordinary means for more than a month, for instance, you can make those wishes known. On the other hand, if you'd like your life to be prolonged by any means available for as long as possible, no matter what your condition, you can make that clear as well. 

A healthcare proxy give someone else the power to make health decisions on your behalf if you become incapacitated. Many hospital provide these forms free of charge.