A difference Lie group is a Lie group equipped with a difference operator, equivalently a crossed homomorphism with respect to the adjoint action. In this paper, first we introduce the notion of a representation of a difference Lie group, and establish the relation between representations of difference Lie groups and representations of difference Lie algebras via differentiation and integration. Then we introduce a cohomology theory for difference Lie groups and justify it via the van Est theorem. Finally, we classify abelian extensions of difference Lie groups using the second cohomology group as applications.