A script is a small program. Many different programs and applications may run scripts of some sort. Many worms also use scripting to infect machines and to propagate themselves as well.
This configuration screen only has one option. If you leave the Enable ScriptStopper checkbox checked, ActiveShield will monitor scripts running on your computer to detect worm-like activity.
Like all other aspects of monitoring live activity, it uses processing power to constantly monitor and analyze various activities on the computer, but in many cases the tradeoff is worth it. I recommend leaving this option checked for most users.