"Squash" is a broad term referring to many kinds of fruits, including both summer (zucchini, courgette) and winter (Hubbard, acorn, spaghetti, butternut, pumpkin). It's related to cucumbers and loofahs. "Pumpkin" is a particular named variety of winter squash, which varies from region to region. In the USA, "pumpkin" usually refers to a round orange squash with relatively thin flesh and a range of sizes in which the larger ones are carved into "Jack-o-lanterns" in October and put on public display, and the smaller ones are cooked and combined with warm spices such as cinnamon, allspice, cloves, and nutmeg and baked into pies, cakes, breads, puddings, and half-soy latte grandes. In other regions, pumkins are larger, thicker-flesh squashes of varying sizes and colours.
TL;DR all pumpkins are squash, but not all squash are pumpkins.