What do you mean by world space and screen space?
World space is the co-ordinate system used for positioning, defined by the current view.
Any time you "set position" (for example), you are using world space.
Note that this is determined at point of drawing, not point of setting position so the view needs to be correct when drawing.
Screen space, however, is the actual pixels that make up the screen/window. So, moving (5, 3) would be 5 pixels right and 3 pixels down.
Mouse position is given in screen space (which pixel of the screen/window that is currently points to) and needs to be converted to world space to be able to use its position within the co-ordinates that you use in your view.