programming tones into a radio (or to a limited extent a scanner) usually allows you to tailor alerts only for the agencies you program in.
If you do not program in anything, most radios will just blurt out whatever they hear on that particular frequency. It will be listening CSQ, and will unmute on any valid carrier on it. If you use a signalling system (MDC1200, QC-II, SelCall, etc) then the unit will usually mute out the radio calls that are not preceeded by that signalling protocol, and you will not hear them. If you program in a particular tone-set correctly, the radio (or a scanner) will usually alert you when that tone set comes across, and then unmute the channel.
Individual radios (and scanners) have varying methods of programming how they unmute on tones (signalling squelch), so it will vary widely. Most people who are using a specific device like a scanner will use it to listen CSQ to a channel, as they want the multifunction aspect of it. Most units, when will check for a 1) a valid signal on that frequency and then 2) a matching signalling protocol on that frequency, before they unmute...and this usually instills an undesirable delay in the responsiveness of a unit. Ok for the light duty hobbyist, but a terrible way for a person to rely on it to be notified of a timely dispatch or a specific call.
