When I was younger, I never really understood the differences between Apply and OK.
Basically, when you click Apply, the changes that you have made will be applied or saved, but the window or dialogue box which is open will not close. This allows you to make further changes if necessary, or temporally see changes that you have made.
However, clicking OK does the same thing and apply the changes, but it will close the dialogue box.
In a nutshell, and to help you remember, Apply will save changed and keep the dialogue window open, while Ok will apply the changes and close the dialogue box.