If you DL from here, then the file is in "zip" format, and cannot be used.
You must open the zip using "winzip" (this is availible from the net, for free, just type "free winzip download" in your search engine).
Make a folder, and name it whatever the scenario name is (for example, if the scenario is Star Trek, name your folder that).
Move the files that are now open with winzip into the folder you just made. If there are any sound files (.wav files) put them in a seperate file called sound, then place that folder
inside your new scenario folder.
Make sure to read the "readme" if there is one, some scenarios require you to run a Dos Batchfile to work properly.
Now, you can leave the folder on your desk top, just start civ-2, and select scenario from the options, use the dropdown window that appears when you select scenario to find your folder, and right click on your folder, which will let you open it, then left click on the scenario (it will be a .scn )
That should do it.
