Week end outside KSA for expats and family (Riyadh)

For expats and their family, is it a problem if we would like to leave KSA for a
week end vacation . Example : go to Dubai, or anywhere else that is not too far.
Do they let us leave the country for our family vacation? Ex: Europe
I suppose that we need exit-reentry visa? Can someone
Take the time to explain me how it works because I 'am new at this...
Nathalie