Yep, had it done on Saturday, probably about the 7th time!
The rectal one is a sensor, it measures the pressure of the bladder whilst the test is going ahead.
The urethral catheter isn't pleasant, but it doesn't hurt.
In a nutshell, they fill your bladder up with liquid to see what it does the more it fills up. You'll be asked to tell them when you first feel any sensation of anything in there, when you need to go, when you're desperate, then when you can't hold it any longer. You will be asked to cough a few times along the way to check for leakage!
You will then be asked to pee into a special toilet which measures how much comes out to check you are emptying properly. The sensors will again give readings as to the pressures in your bladder and how it behaves when emptying.
Hope that helps, any more questions fire away, I'm a veteran of bladder related treatments/tests etc!