You but the .exs file in your Bladscen folder along with the .bmp file (for Windows) or .meg (for Mac). The when you get into BoE and click "Custom Scenario", it should come up.
As for what scenario to start with, it depends on what you like. For large scenarios that take forever to play, try Adventurer's Club or At the Gallows. Alcritas's scenarios are indeed good. The Chicken Plague, well, you might find it enjoyable.
You can go here , where you'll find a list of all the BoE scenarios listed by ranking, and clicking on one will bring up the review thread.
Basically, just pick something and play it. It's not going to kill you if you don't play them in a certain order.