Above the tracks list in shooting and blocking mode are a pair of buttons that say "Scene 1" and "Action 1." These buttons are your scene and action choosers.
Filmmaker Live Scenes are used in exactly the way you would use scenes in your script to help you organize your story. Actions are unique to Filmmaker Live.
When shooting dialog, for example, the entire conversation is typically written as a single scene but you'll often shoot the dialog in several pieces, perhaps positioning the actors one way for the establishing shot or two-shot and another way for the individual POV and reaction shots. Filmmaker Live's Actions give you the opportunity to block different parts of your scene differently, moving elements out of the way for better framing or dropping characters who are not needed for the shot or shots.
Every Action is a part of a Scene, so when you change between Scenes using the Scene chooser, Filmmaker Live will show you a different list of Actions. When you add an Action or a Scene to your project, Filmmaker Live copies the characters and elements from the previous Scene/Action into the new one to help you match continuity across your actions. If you don't need some of the characters in your new Action, you can delete them from the that Action without impacting your original Action.