Typically the Command pattern is used to make an object out of what needs to be done -- to take an operation and its arguments and wrap them up in an object to be logged, held for undo, sent to a remote site, etc. There will tend to be a large number of distinct Command objects that pass through a given point in a system over time, and the Command objects will hold varying parameters describing the operation requested.
The Strategy pattern, on the other hand, is used to specify how something should be done, and plugs into a larger object or method to provide a specific algorithm. A Strategy for sorting might be a merge sort, might be an insertion sort, or perhaps something more complex like only using merge sort if the list is larger than some minimum size. Strategy objects are rarely subjected to the sort of mass shuffling about that Command objects are, instead often being used for configuration or tuning purposes.
Both patterns involve factoring the code and possibly parameters for individual operations out of the original class that contained them into another object to provide for independent variability. The differences are in the use cases encountered in practice and the intent behind each pattern.