Ok, I always see, HTTP, Socks4 and Socks5 proxies. But when I see them, they are always on different topics, meaning they're not the same thing. Could someone give me a description between the 3 so I can see what the difference is

To put it simply, they function diferently as far as programs interface to them. Not all programs support all forms of Proxies and hence they have to be seperated. To the user they are practically all the same, but at a lower level they offer slightly diferent functions. HTTP is only really suited to single request style programs like web browsing, Socks4 is suited to TCP connections and is really quite useful although doesnt have much in the way of authentication, CONNECT is an addition to the HTTP Proxy Protocol which makes a HTTP Proxy almost the same as a Socks4 Proxy, and Socks5 gives a decent level of authentication along with support for the UDP Protocol.

As I said though, the diference between the types of Proxies is really quite irrelevent to the end user, all they have to care about it using a Proxy which works with the program they wish to use.