Loading file/script from the server in html

So, I have this doubt from a long time.

I am trying to understand what is the difference between when I load files/script from the server in my HTML like this:

<script src = "/js/file.js"></script>

And like this:

<script src = "http://example.com/js/file.js"></script>

I think the second one connects to the server using a cookie and the first one just connects to the server.

Please help me regarding this!