Sure there is a difference. If you define this.AlertA, you are defining a method that is local  for the instance of ObjA. If you add AlertA to the prototype of the ObjA constructor, it is defined for every instance of ObjA. The latter is, in this case, more efficient, because it's only assigned once, whilst a local method is assigned every time you create an instance of ObjA.
So using this.AlertA in:
var A = new ObjA, 
    B = new ObjA,
    C = new ObjA;
for A, B and C the constructor has to add the method AlertA. AlertB on the other hand, is only added once. You can check that using:
function ObjA() {
        alert('adding AlertA!');
        this.AlertA = function() { 
            alert("A"); 
        };
        if (!ObjA.prototype.AlertB) {
            alert('adding AlertB!');
            ObjA.prototype.AlertB = function() { 
                alert("B"); 
            };
        }
}
var A = new ObjA,  //=>  alerts adding AlertA! and alerts adding AlertB!
    B = new ObjA,  //=>  alerts adding AlertA!
    C = new ObjA;  //=>  alerts adding AlertA!