Can anyone help me how to use this REGEX in validation rule ?
You should screen with
\ such literals as
" and use
REGEX(text, regex_text) in validation rule's formula field.
So, for example, if you want your field match the regex, you should write the formula like this:
NOT(), therefore if the field matches regex it does not be caught as error condition.
Here is the link to documentation: https://help.salesforce.com/articleView?id=customize_functions_i_z.htm&type=5