No, glycolipid and proteoglycan are not similar. Glycolipids are glycoconjugates of lipids. Glycolipids are complex lipids that carry one or more covalently linked sugar groups. Due to the difference in lipids, glycolipids can be divided into sphingomyelin, glyceroglycolipid and steroid-derived glycolipid.
On the other hand, proteoglycans are a subclass of glycoproteins with distinctive features of carbohydrate structure. Proteoglycan is a glycoconjugate, a biomolecule with a core protein covalently attached to glycosaminoglycan (GAG) chains. Glycosaminoglycans or mucopolysaccharides are long, unbranched polysaccharides comprising of a repeating disaccharide unit. Since proteoglycans are made up of polysaccharides, they are a type of heavily glycosylated glycoconjugates.
You will generally find glycolipids on the extracellular face of eukaryotic cellular membranes, and their function is to maintain stability of the membrane and to facilitate cell–cell interactions. Glycolipids can also act as receptors for viruses and other pathogens to enter cells, while proteoglycans are present especially in connective tissues, bone and cartilage, as well as cell surfaces.