Well, this may not be helpful, but to me (and this is only my opinion) I see the difference as a "belief" in Christ as your personal Savior. He came to here to die for our sins and give us a path to heaven. Religion is the method in which to worship Christ. (Of course with the different religions of the world, these opinions very.)
So it all depends upon what your belief is and how you want to worship it...I guess. Again, this is only my thought. There may be better explanations out there.