They are diferent protocols a Proxy can use. Normally people refer to a Proxy as a HTTP type. Basically all it does is relays requests for webpages. Socks4 and Socks5 are a little diferent, they provide a raw relay of data,

Here is a basic rundown of what this entails:

HTTP Proxy
1) User sends a request for a webpage to the Proxy
2) The Proxy makes a request to the page it was asked to
3) The Proxy then forwards the contents of the page to the User

Socks Proxy
1) User sends a request to the Proxy to connect to a remote host
2) The Proxy connects to the requested host
3) The Proxy then starts forwarding data back and forth between the User and the remote host
4) The Proxy stops relaying data when one side drops the connection

So the major diference is that the HTTP Proxy is generally only useful for surfing the net, however there are exceptions depending on the Proxies config, whereas a Socks Proxy can be used for nearly any purpose.

Hope that explained it well enough for you.