IME when lawyers talk about a regulation we mean a regulation supported by statutory authority and adopted through formal rulemaking. These may be challenged on various grounds, including that they are outside the scope of the authority delegated in the statute
Regulatory agencies also have policies, or issue guidance, or publish interpretive bulletins. These sorts of things help tell people how the agency is interpreting and applying the law. These may be challenged on various grounds, including that they don't properly apply applicable law.
Regulatory agencies basically have two types of functions: quasi-legislative and quasi-judicial. In their quasi-legislative role, they adopt regulations which have the force of law and have broad applicability. Agencies adopt regulations as I've described.
Regulatory agencies also perform quasi-judicial functions. These functions include such things as issuing licenses, authorizing or declining to authorize acts of entities licensed by them or subject to their jurisdiction, and adjudicating charges of misconduct by persons or entities subject their jurisdiction. Examples of quasi-judicial regulatory agency action include: a medical board revoking a physician's license for a breach of professional obligations; a department of insurance issuing a company a license to operate an HMO; a department of consumer affairs licensing real estate brokers fining a real estate broker for an unlawful failure to properly maintain a trust account; or the ATF rejecting an application for an FFL.
These are quasi-judicial because they involve determining the facts of a particular matter, identifying and interpreting the applicable law and making a decision by applying the law to the facts. In most cases, an adverse quasi-judicial act of a regulatory agency is subject to multiple levels of appeal. For example, the physician unhappy about losing his license to practice medicine usually first has a right to an administrative hearing conducted by the agency. If he's still unhappy, he can seek judicial review.
Regulations are adopted by regulatory agencies as part of their quasi-legislative function. Policies, guidance, or interpretive bulletins generally relate to a regulatory agency's quasi-judicial function.