A law is a governmentally enforced rule that is backed up by legal force. Basically, you break the law, then you're breaking a rule put in place by the government. A rule is, well, here's the definition: a principle or condition that customarily governs behavior; "it was his rule to take a walk before breakfast"; "short haircuts were the regulation"
source: http://www.google.com/search?sourceid=chrome&ie=UTF-8&q=define:+rule
So a law is a rule, but a rule doesn't have to be a law. I can try to make this more clear if you found it confusing.