Adwords is what you buy to have your adverts displayed in adsense blocks on peoples sites and in sponsered results in the SERPS on google searches.
Adwords is Google's flagship advertising product, and main source of revenue. It offers pay-per-click (PPC) advertising, and site-targeted advertising for both text and banner ads.
Google's Pay per click (PPC) advertising program. As a marketer you simply bid on keywords that you want to have your ads displayed on other related sites.
As you say you are new to this thing so I would say that you better stay away from it NOW. Better start with Adsense and when you are aware of the whole stuff get on with Adwords. With Adsense you will never loose anything but in Adwords there are chances... But if you get to know how adwords works you can make great profits.
As sunnycb said there are a lot of ways to lose money with Adwords. Read more about it and other IM topics first and when your ready to start an advertising, start off small.
What is the difference between adwords run by google and other SEs and the word ads on some scripts? Is there any big difference?
Adwords is Google's PPC Network. there are other PPC's out there and all of them have their differences. Adwords has set the standard in recent years and has the most robust features IMO. It has the highest search volume of them all. The quality of the visitors is great too.
google adword is the google program dedicated to the advertiser to advertise his product or sites with google CCP (cost per click) program.the opposite feature for google publisher is google adsense