Northwest
You would be traveling north from Phoenix to Sacramento.
To travel from Flagstaff to Sacramento you will go North-West.
Traveling from Phoenix, Arizona to Sacramento, California you would be traveling northwest.
From Sacramento to Phoenix is more or less southeast. However, traveling by car you would have to take an L-shaped route: south to Los Angeles and then east from there to Phoenix. There are no direct routes across the intervening mountains.* Note that this question was reversed. See the related question below.
southeast
southeast
East
You would be going south.
East
northeast
One would travel north northeast of Phoenix to reach the Painted Desert.
North northeast.