The Emancipation Proclamation freed enslaved people living in the Confederate States of America (aka the Confederacy). Even though it was supposed to free slaves in these states, the Confederacy refused to follow this law, as they saw themselves as a completely different country.
However, this Emancipation Proclamation does allow for the enrollment of African-Americans into the Union Army. This results in thousands of slaves escaping to the North in order to join the ranks of the Union Army.