They're totally different things!
A slumber party is a rather old-fashioned term for a sleepover. A group of friends - usually schoolchildren or teenagers - spend the night together at one of their houses. It makes me think of the scene from the musical 'Grease' where the girls sit around in their pyjamas giggling. An indoor event, and it's all rather innocent.
A hen party is a night out on the town - involving pubs and nightclubs- organised for a bride-to-be and her female friends, colleagues and female relatives, usually shortly before the wedding. They are almost invariably loud and raucous events involving a great deal of alcohol and vulgarity.