You can't separate the variables directly. The way to solve it is to multiply the whole equation by [itex]e^x[/itex]. You'll then notice that since [itex]d (e^x)/dx = e^x[/itex], the right hand side is just the product-rule expansion of [itex]d(e^xy)/dx[/itex]. So, you have
[tex]\frac{d}{dx}(e^x y) = e^{2x}.[/tex]
Now you can separated the variables. You may wonder why I multiplied by e^x. In general you would multiply by some unknown function [itex]\mu(x)[/itex], which you then chose by demanding that you can write the left hand side as [itex]d(\mu y)/dx[/itex]. This requires setting the coefficient of y (after multiplication by the [itex]\mu[/itex]) equal to [itex]d\mu/dx[/itex]. In this case it gives [itex]d\mu/dx = \mu[/itex], which gives the exponential.
In general, the factor that you multiply by will be
[tex]\mu(x) = \exp\left[\int dx~(\mbox{coefficient of}~y)\right].[/tex]
Notes: this trick only works for first order linear equations, you may not get a [itex]\mu(x)[/itex] which you can express in terms of elementary functions (but it still gives you a solution), and the arbitrary constant of integration in the above expression doesn't matter (it will cancel out in the end).