The First Friday devotion is associated with the Sacred Heart of Jesus, while the First Saturday devotion is associated with the Immaculate Heart of Mary.
Both devotions involve receiving Holy Communion on a certain number of consecutive first Fridays or first Saturdays of the month. You can think of it almost like a novena which is prayed on consecutive days for a particular intention, but instead, these devotions are performed on consecutive months for the particular intention of reparation to the Sacred Heart of Jesus and the Immaculate Heart of Mary, respectively.