That's also wrong. The expression uses an archaic transitive "prove," which means "to test." Thus, "the exception tests the rule," which makes more sense.
Do you have a source for that?
From http://en.wikipedia.org/wiki/Exception_that_proves_the_rule
"The exception [that] proves the rule" means that the presence of an exception applying to a specific case establishes ("proves") that a general rule exists. For example, a sign that says "parking prohibited on Sundays" (the exception) "proves" that parking is allowed on the other six days of the week (the rule). A more explicit phrasing might be "The exception that proves the existence of the rule."
Off topic and pedantic but exceptions do not prove rules.
A specific exception like “you are allowed to do X when Y is true” may be used as proof of an (unwritten) rule about X being forbidden.
I.e. here we use the exception (when Y is true we are allowed to do X) to prove that there is a general rule saying that X is forbidden.