Yeah, have to agree with what k9rzz said. I have found that automated scanning is just not a very useful tool below 30 MHz or in any band that does not use FM or AM as a primary mode of transmission. As N2UJZ said you can scan with the squelch open and in small tuning steps, that way you can hear as the receiver sweeps through a signal, you can then stop the scan and manually fine tune the signal, but I really don’t find this any more useful than manually tuning (except of course in scan you do not have to do anything but listen for periods of time). Twist that big knob in the middle of the radio, tune that thing around. Over time you learn technique to manually tuning, how fast to tune, things like that, depending on what your intended reception targets are.
Learn what portions of the bands support what kinds of communication, maritime, aviation, military, etc.
Learn what modes of operation (AM, FM, SSB, CW, etc) you can expect to be associated with what types of service. Examples are that AM is used mostly by SW broadcast stations, FM is very rare on HF except above 25 MHz, SSB (either USB or LSB) is most common for voice communications throughout the HF spectrum, and CW is mostly used by ham radio operators, although some maritime and other utility type transmissions are still in CW. Digital modes have largely replaced what were the primary CW services of 25 or 30 years ago.
Learn some of the basics of propagation (you don't need the science of what is going on, unless you want to know it, just what happens with regards to signals), i.e. in general lower frequencies work better at night and higher frequencies work better in the daylight hours. A good starting point (rule of thumb only) is from 12000 kHz and down at night and 9000 kHz and up during the daylight, but these are not hard limits and morning and evening times can blur this a lot. Learn how propagation affects what you might hear on what frequency, for example in the evening just before your local sundown you can expect more lower frequency signals from the east and more higher frequency ones from the west.
The world of HF is not like the world of scanners on VHF/UHF/SHF. It is a significantly different beast.
Antenna, antenna, antenna, and location. In the world of scanners and VHF and up you often can get away with some very broadband and compact antennas (broadband and compact are generally not very efficient), depending on your location and services around your area. In the world of HF that is seldom a possibility. In HF a rinky-dink antenna will yield poor results with even the best receivers money can buy. A person with a $150 used Kenwood R2000 and a well installed 100 foot random wire in a quiet location will hear far more than a person with a $4500 Ten-Tec RX-340 and a 10 foot chunk of wire tacked to the wall above the florescent desk lamp.
T!