How is Software Made?
That’s an incredibly broad question to ask. Software can refer to anything that is programmed, and there is no set method of making software.
Do they use scripting languages in combination with GUI development?
It could be possible, depending on what is being built. A GUI for a firefox extension, for example, uses the framework that Mozilla provides, which includes XUL and Javascript. Or you could have a Java GUI. Or one in C++. Or maybe it’s in Python, but C++ is used as a host language along with Python for a program. Maybe it’s using Adobe AIR, with HTML and Javascript. There’s no set mechanism.
Is building software different from building a GUI app in say.... wxPython or others?
Building a GUI app is building software.