Innovative means new, different, hasn't been done before, very clever approach, a novel approach. Creative is less strong: it means artistic, a little different, a little clever, not the normal approach. I am assuming here a context where you can't decide between "This is a very innovative/creative approach to something". There are other uses: Innovative always means as above, ie. the thing you're doing/discussing is an "innovation", a new thing. Creative can just mean you are a creative, artistic person - "Greg is very creative, he likes painting". Both words can be over-used I guess. In artistic/media/advertsing circles people might say "Oh he's so creative, she's so innovative !" when they just mean that he/she is slightly better than average. Like awesome, over-used. Hope that helps.

Greg's given you an excellent answer, and I'd just like to add one thing. The root of the word 'innovative' comes from the Latin word for 'new' - an 'innovation' is a new thing, or a new approach, or a new system. If you bear that in mind, it'll help you decide which word to use.