According to Wikipedia (https://en.wikipedia.org/wiki/JScript):
So to answer the question in your title, they are the same thing.
Edit: Per comment below from @dandavis, Jscript is actually worse.
I don't know anything about Windows/IE, but I believe you can configure IE to not execute JS (or only for certain sites) - which should mean you could potentially only allow JS to execute for trusted sites, which should limit the attack surface.
I think (but again, not really my area) things like EMET might be of some assistance, as would something like application whitelisting (I think the functionality is part of AppLocker, but I don't know to what extent it can help).
Edited to account for extra info in comment below:
OK - for that case (thanks for specifying), I think there are two ways:
If you had a proxy that could do content introspection (and not have to deal with TLS-protected data), you might be able to block specific scripts that contain calls to wshell, but as you say, that is almost certainly going to be a long game of whack-a-mole that only ever mostly works.
Edit: Another thought occured to me, which was to try and force users to select the download dir for all downloads - I assume most would at least pause when seeing a .JS download. Unfortunately, per https://superuser.com/questions/250057/is-there-a-way-to-make-internet-explorer-9-always-prompt-for-download-location#261007, this is no longer possible for IE. It seems to be for e.g. Chromium (https://support.google.com/chrome/a/answer/2657289?hl=en), but that probably doesn't help. It is also a fairly weak protection - and may for that reason be a bit of a dead end.