As mentioned in Running the Game, a scenario is a unit of game time usually lasting from one to four sessions, and made up of a number of discrete scenes. The end of a scenario should trigger a significant milestone, allowing your PCs to get better at what they do.
In a scenario, the PCs are going to face and try to resolve some kind of big, urgent, open-ended problem (or problems). The GM will typically open a scenario by presenting this problem to the players, with subsequent scenes revolving around what the PCs do to deal with it, whether that’s researching information, gathering resources, or striking directly at the problem’s source.
Along the way, you’ll also have some NPCs who are opposed to the PCs’ goals interfere with their attempts to solve the problem. These could be your Raymond Chandler-esque “two guys with guns” bursting through the door to kill them, or simply someone with different interests who wants to negotiate with the PCs in order to get them to deal with the problem in a different way.
The best scenarios don’t have one particular “right” ending. Maybe the PCs don’t resolve the problem, or resolve it in such a way that it has bad repercussions. Maybe they succeed with flying colors. Maybe they circumvent the problem, or change the situation in order to minimize the impact of the problem. You won’t know until you play.
Once the problem is resolved (or it can no longer be resolved), the scenario is over. The following session, you’ll start a new scenario, which can either relate directly to the previous scenario or present a whole new problem.