By the sound of it (and I've never used the engine before...), internal variables are specific to events, and shared variables are accessible everywhere. You would use internal variables for something like figuring out how many times you'd talked to a specific NPC, and shared variables for how many banks you've visited in your life (or something like that).
Here's a good-looking FAQ
for the game - I suggest you trudge through it if you want to get the whole scoop. Like I said, you should take the above paragraph with a small boatload of salt and check the FAQ regardless.