It's a common mix-up: incognito or private browsing mode sounds like it should keep you anonymous online, but it does something much narrower than a VPN.
Incognito mode only affects your local device. It stops your browser from saving history, cookies, and form data after you close the window. Your internet provider, network administrator, and the websites you visit can still see your activity and IP address.
A VPN works at the network level. It encrypts your traffic and masks your IP address, so your provider and anyone else on the network can't see what sites you're visiting.
For real privacy, the two are complementary: use incognito mode to avoid leaving local traces, and a VPN like ZioFree to keep your traffic private in transit.