What is the difference between an executive order and a law?

An executive order is a privilege of the executive branch of government, i.e. the President of the United States. The President is permitted to sign an executive order that he or she believes to be lawful based on the US Constitution. The President can bypass Congress with an executive order; however, once signed into law, the order can be challenged in court. For example, in June of 2016, the Supreme Court heard challenges to President Obama's DREAM Act, an executive order he issued regarding immigration. Rather than ruling, the Supreme Court sent the individual challenges (representing 26 states) back to their respective lower courts, where those courts could toss out or uphold the order. 

A law must pass through the legislative branch of government, i.e. Congress. Both the House of Representatives and Senate have a role in making a bill a law. Once a bill has passed through both branches of Congress, the President will sign the bill into law or veto it. Congress can override the President's veto with a two-thirds majority.