They should tell you before you go in. But I think they want you to come in as normal. They want to see how your heart functions on a normal basis, and not have you tune your heart up before going in, if you get my drift. And I was always given a shoe by the department. I was always an inpatient when I had the test, so I didn't go in with the proper shoes. There are different types of stress tests also. Some with contrast, others on a tilt table, or my least favorite (the name escapes me now) is the one they speed the heart up with a drug. I was lying on the table all comfortable and then they start a drug that would make my heart beat so fast I thought I would pass out. Ask questions before if anything bothers you about having the test or you have any concerns. I would certainly ask what type you are going to have so you will know what to expect.
You should get instructions from the cardiopulmonary unit where the test is being performed. Sometimes they want you to stop some meeds. otherwise be prepared to walk .. comfortable shoes.