They are quite similiar words but sieve is put through a liquid and solid (particle) mixture to separate the liquid from the particles , sift is specifically put particles through a sieve to separate them by size although you can add a liquid to help the separation. Also you can sift through information to get to the parts that you want. Sieve- aim to separate liquid from solids, Sift aim to separate solids by size.
It is best that you first check an online dictionary and if you don't understand the results then try this forum and include the results from the dictionary.