you will need two visas: Saudi and Egypt from their embassy/agent in Doha. You will need a 'car passport' issued by the Qatar body opposite the petrol pump near Toyota tower. Letters for each visa would include office NOC letters addressed to respective embassy. Saudi may ask you where you intend to stop over in Saudi (it is a long drive) and may require hotel booking. You don't need any more paper work, but the border officials can always be difficult. Drive safe and use the seat belt!