When you open a dialog box to change a setting in Windows or a Windows program, the buttons often include both OK and Apply. What’s the difference? It’s simple:
- Click Apply if you want to make the selected change without closing the current dialog box. This is the right choice if you’re making several changes in different parts of a dialog box and you want to apply one set of changes before moving on to the next.
- Click OK if you want to make the selected change and close the dialog box. If you’re making a single change, you don’t need to click Apply before clicking OK.
Clicking the Cancel button closes the current dialog box without saving any changes. This is the preferred option if you opened a dialog box to check a setting and you want to be certain you don’t accidentally change it.
Ed Bott 
What if you hit Cancel after having hit Apply?
Once you click Apply, the change is made. Clicking Cancel at that point doesn’t undo the change, it just closes the dialog box. So the scenario you describe (Apply then Cancel) would the same as clicking OK, then reopening the dialog box and then clicking Cancel.