Maggie,
A hole is first drilled in each of the areas of the pattern that need to be removed. Then one end of the blade of the scroll saw is inserted through the hole, the blade tightened, and the cutting is done from there. The blade is loosened and inserted in the next hole and so on.
Scroll saws come in styles that use pinned blades or pinless blades. Those that use pinned blades are limiting in the type of pattern you can use, as a much larger hole has to be drilled in order to feed the blade through the wood.
Hope this helps answer your question, and feel free to ask if you need further explanation or have any other questions. We are here to help.
Tom