Let's say you're playing baseball on the streets with your friends and one of your friends hits a baseball through your neighbours window and breaks it. Your neighbour comes out and asks all your friends questions to find out who did so they can be punished. Your neighbour is the FBI.
Your sister claims that your brother stole one of her barbie toys. Your brother denies it but your sister still thinks he did it. So when your brother is taking a shower, your sister goes in his room and snoops around to see if your brother actually stole it. Your sister is the CIA.
Here's a little quote to help understand better:
"Darling, the FBI are like police. If they come to the door, don't let them in the house. The CIA are spies. If they want in, they are already in the house."