Both paint and stain contain colored pigment, but paint contains other materials such as a binder to create a solid film. Decades ago, this was the purpose of lead in paint. Today there are solid (opaque) stains that look as good as paint but usually go on thinner.

Everyone has given you a correct answer, but I'd want to add that there are several types of stain for exterior staining. The more opaque types (paint-like) provide more protection against sun and weather damage than the clearer types.

http://www.olympic.com/stains

http://www.cabotstain.com/colors-and-fin...

Paint can adhere to most surfaces, whereas stain is basically a wood treatment.

Paint covers over the surface while stain soaks into the wood. Stain allows some of the natural wood to show through.

Stain penetrates the timber and leaves little or no protection. Paint lays on the surface and protects the timber.