Different steps, in that Mash Out is optional, and everyone doing all-grain sparges in some fashion. (I don't know anyone that "no-sparges" their grains.)
Mash Out is a temperature raise or infusion that raises mash temp from the saacharification range up to 168F to denature enzymes, as Dave said.
Sparging is the rinsing, and one could batch sparge or fly sparge after mashing, regardless of whether one does the mash out step. In addition to denaturing, the mash out also increases liquidity and improves lautering, and thus efficiency.