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If You´re talking about the downloadable scenarios from the depot: The scenario.eug and scenario.inc should both go to the folder 'scenarios'.
If You´re talking about the IGC from Doomie´s site, there´s a readme explaining everything. But basically You just have to copy the whole bunch of unzipped folders into the EU folder - everything will go to the appropriate place then overwriting older files (just make sure You have made backups of the original files in case You want to play the old GC again - or install a second copy of EU just for the IGC).