This is something that confuses many embroiderers.  Let's try to clarify the difference. 

 Fonts that you purchase are designed for use in an embroidery software program such as Alphabet Xpress, Personalize N Stitch or LetterWorks.  You can type in whatever you like, save it in your format and it will embroider out all together.  The initial alignment of the lettering is done for you in the software. 

Alphabets are like single designs.  Some embroidery machines may call them built-in fonts but in most they are really alphabets. You bring them into your machine one letter at a time to create a word on the screen and manually move them to align them and sew together.  It is just like combining two designs on your machine's screen - you bring in one and then the other.  Most of today's embroidery machines have the capability to combine designs so check your instruction manual if you have not combined designs in your machine before.  Then you can sew the word or phrase out in one hooping.  Purchased alphabets work the same way.