You are supposed to click on the little flag by its name a second time. However, for many people (including me) this just crashes the game. Kael has posted up a suggestion (which did not work for me) to get around this problem. If, like me, that doesn't work, try going (out of the game) into
my programs/CIV IV/BTS/Mods/FFH/XML/Scenarios
or similar, and open it directly from there (by double clicking). Perhaps you can ensure that you only open them in the correct order, as my method bypasses the point of the 'locked' scenarios.