Yet another phrase used more than understood, this does not mean that some exception to a rule proves it in the sense that it proves that it is correct or is right or valid.
Instead it means that some exception to a rule, when stated, proves that the rule exists. For example, hearing the following statement:
"Tonight all sailors are allowed to stay ashore until 11pm"
you recognize it as an exception to some rule, perhaps one that says they must be back on board by 10pm most other nights.
The idiom lost something over time when changed from Latin to English and then to modern times. To 'prove' not only means to show as correct, but also to validate, to test, or probe. The exception stated above leads one to believe that there is a rule to which that statement is an exception.
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