I'm confused in the difference between the cell wall and the cell membrane?

Good question. It's quite common to get both terms confused and they're both refering to a protective component of the cell. The best way to remember it is, that the membrane is present in all cell types and the wall is only in one. The CELL MEMBRANE is present in both animal and plant cells, and the CELL WALL is only present in plant cells. 

They are both protective organelles within the cell. As the plant cell, has both present, it's known to have a double membrane. A good way to differentiate between the two, is to remember the cell wall (if present is always the outermost layer) - which protects the rigidity of the cell. Whereas, the cell membrane (which is always presents), forms the structure of the cell and allows certain substances to pass through.

Let's look at a diagram to help compare both the plant cell and animal cell....