You are right. The sash is the part that holds the glass and moves up and down. The jamb is the interior framing of the window opening that holds the sashes in place. See this website:
http://www.1stwindows.com/terminology.htm
If you imagine a window with an upper and a lower sliding sash, the jambs surrounding the sashes would need two wide grooves to allow the two sashes to slide up and down without interference. There would need to be something to separate the two sashes as they would otherwise collide. A "fillet" would be the thin strip of wood intentionally left between the two grooves.
Maybe window jambs is not the best example. I could be wrong, and frequently am. I know more about linguistics than construction, and I hope someone else might be able to explain this more efficiently.