Students often dread both essays and exams, and for many of the same reasons. Both require work and study. However, there are several differences between the two.
To write a good essay or to do well on an exam, you'll have to do some work to inform yourself on the topic that each will cover. For an essay, that means researching a topic, coming to a conclusion about it, finding outside sources of information to support your thesis statement and deciding how to organize your thoughts. For an exam, it means studying the information you might be asked about.
Some exams include essay questions. Unless you're given the rare opportunity to take your exam outside the testing site to complete, that means knowing the topic ahead of time instead of having the luxury of researching and organizing thoughts ahead of writing them down.
For an essay, you may be given a list of topics to explore or just assigned one, but the conclusion you reach will be your own. Often, an essay writer chooses their topic, researches it, and then structures it in whatever way they feel is best to inform their readers fully on the subject.
On an exam, the questions are chosen by the person testing your knowledge of a particular subject. Those questions may be structured as true or false questions, multiple choice, fill-in-the-blank, mathematical equations to solve, or essay questions. Generally, students are given a limited amount of time to complete their exams and they must do so in the presence of the examiner.
In short, an essay displays your knowledge on a subject while an exam tests that knowledge.
For an essay, a single question or topic is explored in full, and the best essays go deeply into the topic at hand to explore it from multiple angles and using many different pieces of background information as sources to support their thesis statement. An exam may cover many different areas of knowledge within a field of study. A math exam, for example, may include questions that test your knowledge about decimals, fractions, and multiplication. An English exam may require you to show that you understand proper capitalization, punctuation, sentence structure, and verb usage.
Either way, you're going to have to put in some hard work to get the good results you want.