A prospective study recruits people first and then follows them forward in time, recording what happens as it happens rather than looking back at records.
Researchers decide in advance what to measure, so the information is collected the same way for everyone. That makes prospective studies more reliable than relying on people's memory of past events.
An example would be recruiting a group of young children, assessing them each year and recording who later receives an ADHD diagnosis and what was different about them earlier on. Prospective studies are slow and expensive, and some participants leave before the end.
For adults seeking an ADHD assessment, the difference matters in a small way. Your own account of childhood is retrospective, which is why the clinician also asks for school reports or someone who knew you then.