Don't make a scene! At least, not in real life. But in writing stories, they can be quite useful.
Scenes are slices of a story (or they can be the entire story if there is only one). They offer a way to split a story into smaller sequences. You indicate a separation of scenes using the pound sign (#). For example:
This is the first scene. Some things are happening here.
#
This is the second scene. Other things are happening here.
(When they're published, the editor usually changes these to blank lines or cool graphics, etc.)
Scenes serve a myriad of purposes, but here are some of the common uses:
1. Changing the point of view (POV). It is ill-advised (though certainly not illegal) to change POV's within the same scene because it confuses the reader. For example:
Amy nodded to Bill, but she wished he would die; not necessarily a painful death, just something simple like a decapitation.
Bill smirked. What was Amy thinking, he wondered. She always had a creepy stare.
I've sometimes seen the term "head jumping" with this. Even if you're writing third-person omniscient (meaning that the narrator knows everything), I would approach POV changes cautiously and probably stick with a single POV within a single scene.
2. Changing the setting. Part of a story may take place in the kitchen while the rest takes place down by the river. Unless we're following the characters all the way to the river, it's best to break the two locations into separate scenes. It's not mandatory, but if you want to make a clean break without writing a transition, the scene break allows for that.
3. Passage of time. This is probably a corollary to the previous point, but if part of a story takes place on Monday, and part of it takes place on Friday, it's probably best to separate the two days into their own scenes. This is another area where you can write a transition instead of a scene break, or you could create a scene break along with a written transition.
4. Flashbacks. I was just thinking about flashbacks the other day when. . . No, not really. But if I did, I could jump to the flashback by employing a separate scene for it.
By the way, there is no rule around the minimum length of a scene. If you wish to do so, you could have an entire scene transpire with a single word. As long as you have a purpose in it, go for it. But bear in mind that you're giving the reader a forced break each time you use it.
The number and purpose of scenes really depends on the story itself. But as a reader, if I see a scene break, I know something has changed (POV, setting, time, flashback, etc.), so I'm prepared for that transition, even if it's sudden.