SEM stands for Search Engine Marketing.

It's the practice of ensuring that a website is easily found by relevant visitors within all the major search engines for a particular keyword/phrase and within all their search results (both "Paid" and "Natural/Organic" results).

SEO stands for Search Engine Optimisation.

It is the practice of making sure that a website is easily found within the "Natural/Organic" search results for a particular keyword/phrase of any given search engine.