The main difference, generally speaking, is that a musical tells a story with song and dance, while a play typically sticks to spoken dialogue. This is a broad generalization; some plays feature musical content, and some musicals feature heavy amounts of spoken dialogue.
R O. Y. G. B. I. V.
e. r. e. r. l. n. i.
d. a. l. e. u. d. o. n. l. e. e. i. l.
g. o. n. g. e.
e. w. o. t.
If you don't get what I'm saying, no one will!