Scripts are text files that contain lists of instructions that are interpreted by something line by line and actions are made based on those instructions. In the old days the language BASIC was essentially a script and this has been modernized a bit with MS's Visual Basic scripting language. Java comes in two flavors there is Java the binary type applet thingy - a self contained bit of code like stuff and Java script which is a list of Java instructions in a text file. Most browsers come with a Java script interpreter which can be used to do various things more complicated than your native browser language HTML.
Is it risky ? Well, its more risky having it switched on than off but its like saying is my house secure. No. Nothing is ever secure you have to gauge how much security your willing to put up with for the inconvenience or loss of features you have that comes with it. Personally I wouldn't be too bothered about keeping it on.