Whats the difference between having tooth decay and a cavity?

None really: A cavity or caries is just tooth decay that has penetrated the hard outer enamel layer of your tooth.

Basically same thing: Tooth decay is the tooth/enamel breaking down, and the break point of the tooth is a cavity. Often people refer to their fillings as cavities, saying they have a lot of cavities. But really the teeth have been filled with materials to eliminate the cavity or hole in the tooth.

Process vs. problem: Tooth decay is a process. It begins with demineralization which then leads to weakening of tooth structure, breakdown and then a cavity. So the cavity, or hole, is the final step in the process. Early stages in the process are sometimes reversible, but when it results in a cavity, then the treatment is a restorative procedure such as a filling.