I can't really speak about Afghanistan, so maybe I can explain what was going on in Egypt and someone who knows things about Afghanistan can weigh in with a comparison.

Egypt is considered to have been a British colony in function, if not name, from 1882 until 1952. Between 1882 and 1914, the British controlled the major organs of government, either appointing Europeans as Ministers of the various departments, or puppets who could be controlled by European advisors; they had direct control over foreign policy, financial affairs, and internal security.

If I'm not mistaken, most of those things were missing in Afghanistan; I don't think the British ever achieved any sort of effective direct territorial control there.

One of the reasons why Egypt wasn't made an actual colony was that it was an Ottoman province; Britain was one of the European powers arguing that the Ottoman Empire should remain intact because it was feared that the Empire's breakup would lead to mass instability in southeastern Europe and the Eastern Mediterranean; also Russia was waiting in the wings to swoop up the territory. So, there was a legal fiction that the British were in Egypt as "advisors," but everyone knew what was going on--the French were able to solidify their control over Morocco in exchange for backing off of Britain's control over Egypt.

In 1914 Egypt was declared a protectorate because of the mutual declaration of war between the Ottomans and Great Britain. The Egyptians were promised that, in return for their aid, Britain would help them achieve independence, but, when the Egyptian nationalists were denied the right to represent themselves at the Versailles conference, there was a huge nationwide uprising which sort of forced Britain to put any ideas about increasing their presence in Egypt (i.e., make it a colony) on hold.

Egypt was given nominal "independence" in 1923, but there were severe limitations placed upon its sovereignty--one of which being that they couldn't contradict Britain in the area of foreign policy, that British troops could remain stationed there, and that Britain retained significant control over Egypt's finances. Even though there was a King and parliament, the British remained so heavily influential that where Egyptian politicians often just negotiated directly with the High Commission. That all ended in 1952 when the King was deposed in a coup d'etat by the military, which was then able to rebuff British control and negotiate a withdrawal of British forces after 1956.

Hopefully someone else can compare this with what was going on in Afghanistan and give a clearer picture of the difference!