Alex's diagram is the easiest way to look at it.
Red123 - I'm wondering if you're getting confused with conic projections?
Rhumb lines are curves concave to the pole. Great circles are taken to be straight but have a small curve that is concave to the parallel of origin.
For the calculation you are doing, this doesn't come into play. Take all great circles as being straight lines.
Good luck with your exams.