When do I use Save and when do I use Rescue?
Save and rescue is very similiar. It has to do with the action of being removed from a difficult or dangerous situation. Being rescued. "Save him please!"
What is the difference between them?
'Save' can be used in another context, e.g "Save me some food please, I will be home late tonight." Meaning keep some food for me, do not give it away. However 'rescue' can only be used in a situation were someone is being save (rescued from a dangerous situation).
May you also make the examples?
To conclude, they have a very similar meaning and any of the 2 is correct when exclaiming that someone needs help.
"Please save him!"
"Please rescue him!"
"We need to save them."
"We need to rescue them."
"He saved her."
However save can be used to exclaim that you wish to have something.
"Save me some of the birthday cake please."
"We can save some of the wrapping paper and use it next year."