The words lecture and course are both used in connection with education. Consulting the Oxford Learner’s Dictionaries, we have
lecture = a talk that is given to a group of people to teach them about a particular subject
course = a series of lessons or lectures on a particular subject.
Especially German native speakers often struggle to distinguish between lecture and course because both translate to Vorlesung. For example, you will often hear people say
I’m teaching a lecture on …
even though they are referring to an entire semester and should therefore say
I’m teaching a course on …
PS: Check out this post about other common mistakes in connection with lectures.