In American English, a set screw is a screw that is used to secure an object, by pressure and/or friction, within or against another object, such as fixing a pulley or gear to a shaft. A set screw is normally used without a nut, being screwed instead in a threaded hole drilled in only one of the two objects to be secured. A set screw is often headless and threaded along its entire length, so that it will sit entirely inside that hole; in which case it may be called a grub screw or blind screw.
A potentiometer knob with a set screw for locking it in place.
A screw is an externally helical threaded fastener capable of being tightened or released by a twisting force (torque) to the head. The most common uses of screws are to hold objects together and there are many forms for a variety of materials. Screws might be inserted into holes in assembled parts or a screw may form its own thread. The difference between a screw and a bolt is that the latter is designed to be tightened or released by torquing a nut.
An assortment of screws, and a US quarter for size comparison
A Brown & Sharpe single-spindle screw machine
A machine screw
Lag screw, also called a lag bolt