Twice, at two different events.
At exercise: the difference between the fair market value (FMV) of the shares on the exercise date and your exercise price is taxed as salary (a perquisite), at your slab rate. For unlisted companies the FMV must come from a Category-I merchant banker valuation. Your employer deducts TDS on it.
At sale: the difference between your sale price and the FMV at exercise is a capital gain. For unlisted shares held more than 24 months after exercise, it is a long-term gain taxed at 12.5% plus cess; otherwise short-term at your slab.
Employees of DPIIT-recognised eligible startups can defer the exercise-stage tax — see our note on the eligible-startup ESOP deferral. Try the numbers on our ESOP Tax Calculator.