One softens at higher temperature, the other forms cross-links and effectively "cures" or "sets" at higher temperature.
Thermoplastic polymers become softer and have less tensile strength as you increase temperature up towards the softening point. It is because of this property that polymers such as polyethylene, polypropylene etc can be moulded and extruded, and why they are useful for injection moulding applications to produce small plastic items, bags, packaging and so on.
Thermosetting polymers contain functionality along the polymer chain which, when reaching a certain temperature, form links between adjacent polymer chains, creating a sort of "network" where adjacent chains cannot flow past each other. This prevents the polymer from melting and flowing at high temperature. The advantage is that items made from the polymer do not deform at higher temperatures. Examples are such things as epoxy resin, phenol-formaldehyde, melamine-formaldehyde.
Uses of thermosetting resins include electrical insulation and fixtures which may become warm in service, also things like saucepan handles which are not supposed to melt or deform when on a hot cooker.