Hello and Welcome! Nice to have you here :)
A script is a program which automates a task. It usually is executed without compiling (read transforming) it to a binary format (1s and 0s which you cannot read; a script will be a text file). That's why scripts are written for an interpreter(some software which reads the text and does what the text says) rather than an operating system or specific Kernel. Examples for scripting languages include:
.cmd/.bat) or Powershell (.ps1) on Windows, or Bash or Kornshell or ZSH or ... on *NIX)You can make one by opening a text editor (for example Notepad on Windows) and writing in the language of your choice. All you need to execute it is a matching interpreter. You usually have a Shell Script interpreter on your computer, so I will show you examples for that.
Example in CMD (just write the following code into a file and name it hello_world.cmd or something like that and double-click it):
@echo off
echo.
echo Hello World!
echo.
PAUSE
Or bash (file name hello_world, optionally hello_world.sh, and make it executable with chmod +x hello_world)
#!/bin/bash
printf "\nHello World!\n"
For other languages, you usually need to download the interpreter. For example for JavaScript, you will need Node.JS if you intend to execute it without browser.
For more information and good tutorials, you should use google and go to a site, like CodeCademy, which teaches the language you are interested in.