SFX are visual effects. It can also produce sound effects, but through referencing separate systems. Not to be confused with VFX, which refers to SpEffectVfxParam.
FXR refers to the file format.

Dark Souls 1 and 2 use a different format called FFX.

References

Dark Souls 3:

Dark Souls 3 FXR IDs

Dark Souls 3 FXR Notes

Elden Ring:

Elden Ring FXR IDs

Elden Ring FXR Notes

Tools:

- WitchyBND
- FXR3-XMLR by Meowmaritus, can be downloaded from the Tools page.