You would set the first rule's action to "stop ruleset" which would stop it from processing the second rule (and other rules in the given ruleset).
Alternativley, you could join the rules and say:
IF URL category is in the black list
AND URL is NOT in whitelist
I prefer the first as negative logic (used in second example) is a bit confusing sometimes.
I had set the rule action as stop cycle, which seemed to work, but stop rule set seems to work as well.. the difference between the two is hard to grasp.
Stop cycle, means stop processing of all rules.
Stop ruleset mean stop processing of rules in a given ruleset.