As mentioned above, the groups are all isomorphic, however they are not all the same subset of $M_{2n}(\mathbb R)$.
Example. From MathWorld we have the following nice examples of symplectic matrices:
$$I_4, X = \begin{pmatrix}1&0&0&1\\0&1&1&0\\0&0&1&0\\ 0&0&0&1\end{pmatrix}, Y = \begin{pmatrix}0&1&0&1\\1&0&1&0\\0&0&0&1\\0&0&1&0\end{pmatrix}$$
Let's now try a different skew-symmetric nondegenerate matrix like $$J = \begin{pmatrix}0&0&2&0\\0&0&0&1\\-2&0&0&0\\0&-1&0&0\end{pmatrix}$$
A computation shows $X^TJX \neq J$. You can copy this following into WolframAlpha to check it:
[[1,0,0,1],[0,1,1,0],[0,0,1,0],[0,0,0,1]]^T*[[0,0,2,0],[0,0,0,1],[-2,0,0,0],[0,-1,0,0]]*[[1,0,0,1],[0,1,1,0],[0,0,1,0],[0,0,0,1]]
Please note that one should not be that surprised by this! The same thing happens for instance with orthogonal groups. If one changes to a basis that is not orthonormal, the orthogonal matrices expressed in the new basis will no longer belong be in the standard subset $O_n \subset M_n(\mathbb R)$.
There is a little disparity between Wikipedia's definitions of symplectic matrix and orthogonal matrix in this sense. Orthogonal groups are of the form $A^TIA = I$ where $I$ is the identity matrix, but for a general nondegenerate symmetric bilinear form one replaces $I$ with any invertible symmetric matrix $S$. The group $\{A \in GL_n(\mathbb R) | A^TSA = S\} \cong O_n$ is certainly not equal to $O_n$ for all the same reasons as above.
@mentions like so: @Rohan. Usually if you type this at the very beginning of a comment, the comment box will provide you with an autocomplete list which you can navigate through with the up and down arrow keys if there's more than one possible completion, and press tab to select your choice. I think you will enjoy becoming a part of this community and find it very productive and helpful! – ThisIsNotAnId Mar 29 '17 at 15:22