If you are scanning a trunk system, you might not hear any difference because it is monitoring a control channel. The scanner mutes the control channel audio all together.
If you are scanning conventional frequencies, you will hear it open up and allow 'white noise' to be heard around the setting of Zero or One depending on the noise level. Once you get to a setting of approximately Two, the noise will be squelch out and it will take a signal level of a set point in the radio to allow you to hear audio once again.
The higher the squelch number, the more signal is required to open up the audio circuit for you to hear and audio.