Do you have The Titans installed? .scx files are for The Titans only. Even if someone just saves a normal AoM scenario as .scx using the Titans editor, it can't be played in normal AoM.
Also, for The Titans, the files should go in the My Documents\My Games\Age of Mythology\scenario folder (or \data for campaigns).
[This message has been edited by Matei (edited 05-18-2004 @ 04:11 PM).]