A scenario consists of several files. As an example, the Grand Campaign has these files:

.\Scenarios\The Grand Campaign.eug	The main Scenario File. The name of this file is the name you get in EU2 when selecting scenario. This is where the selectable nations are listed, and where the pre-selected nations you see when starting a game are located.
.\Scenarios\1419.inc	The Scenario Definition. It contains a definition of the world at the starting point of the scenario. This includes wars, diplomatic relations, positioning of Centers of Trade, changes to provinces compared to province.csv and more.
.\Scenarios\1419\1419_xxx.inc	The Country Definition. One file for each country, where "xxx" is the three-letter tag for the country.

In addition to this there are Monarch files, Leader files, Event files and AI settings files.

If you are modifying common files (like the *.csv files) for a special scenario, you can now do this without affecting the other scenarios by using the moddir start option.