A rocket is a vehicle that uses a rocket engine, while a probe is typically a vehicle sent into space to study a particular phenomena or a stellar body. NASA currently uses Antares rockets to power the spacecrafts that deliver payloads to the International Space Station. It consists of four stages: Fairing & interstage; stage one core and Aft Skirt; Stage one engine and fuel tanks; Payload and stage two Castor motor.
Rockets are typically made by making a large number of smaller components which are intricately attached to give the desired shape. A new technique is being used these days: selective laser melting. In this process, instead of making a number of small parts, a laser is used to melt and shape metal powder to yield a single piece component. The frame of the rocket is made of light but strong material like titanium or aluminium. Most of the rocket actually consists of the propulsion system.
The probes typically contain solar panels to support the electrical functions and analytical equipment to "probe" a stellar body or phenomena.
Each rocket or probe is designed for a specific application and as such is a unique design.