Construction and research orders : The former use up Industrial Capacity points, which are allocated to build and expand Armies, Air Squadrons and Fleets, and the latter use up money. Your ministers and research teams will then attempt to materialize them to the best of their ability.
Political orders : These affect the above sliders, allowing you to try to adjust the political alignment and policies of your government. Like any order, it can backfire. It is generally good to have the support of your government, of your party and of your people, as it increases the chance for the change to succeed. Sliders will in turn open up new options. Limited to one per turn.
Diplomatic orders: These include trade treaties, military access treaties and alliances, as well as espionage (and counter-espionage) orders (which require you to have funds and are dependent on secret technology). They are limited to 2 trade and diplomatic treaties per turn, and four espionage operations per year.
Military orders: These include all deployments, maneuvers, etc of military forces under your command. This may include partisans which you might have some measure of control on, your Armies, Fleets, Air Squadrons and Theaters of Operations (fronts). Again, you may only give general guidelines in most cases, such as setting Rules of Engagement, strategic objectives and allocation of forces.
General order: One per turn, may be used as any of the other orders, or as a general-purpose order to try to shape your nation further.
Event orders: These are special orders, which you may only send when prompted by an event demanding your reaction. They will generally have predetermined choices.