A stage direction is a direction outlined for the actors or stage crew in the text of the play. This can mean things like "exit stage left" or "enter stage right" for actors in which they perform the action specified, in this example entering or exiting the stage. For the stage crew it can mean things like "lights fade" or "play recording" in which the stage crew would fade out the stage lights or play a prerecorded track.
At rise refers to the beginning of a scene or act, literally as the curtains rise, or if their is no curtain, as the lights come on.
Considering that you are asking about these two you might also be wondering what an at rise description is, and that is simply the stage directions given at rise, outlining what is on stage at rise.