Scripts are entire sections of code parsed and processed by the game engine. They affect absolutely everything in the game, from the map programming to the battle system. They are written in RGSS (RGSS2 in case of VX) which is a variant of Ruby.
Do you need them ? Probably yes. Though it's possible to create a game with only default scripts, they are mandatory if you want to perform heavy modifications.
How do you make them ? Open the script editor and write. Of course, you need to learn the language first. RMVX help file can help you, but not as much as this site: http://www.ruby-lang.org