They're two entirely different cartridges. 357 SIG is a semi-auto rimless cartridge that's basically a necked-down .40 S&W (it's not actually made that way), designed to duplicate .357 Magnum ballistics with 125 gr. bullets out of a short barrel. .357 Magnum is a rimmed revolver cartridge that can be thought of as a lengthened .38 Special loaded to higher pressures. Wikipedia has a good discussion on the development of both cartridges, along with just about any other caliber you can think of.