Welcome to the Arizona forum !
It'll help us a lot to be able to help you if you let us know where you are, or where you are listening, who you want to listen to, and what kind of setup do you have, i.e. radio type, antennas internal or external, etc.
We've got folks throughout the state that can help. Phoenix and Tucson have regular scanner "club" meetings for the new and old....
Check out the AZ Database section for the agencies and frequencies listed throughout the state.