Just looking through the manual, and found another deadlink @ http://unity3d.com/support/documentation/Manual/Publishing%20Builds.html - anyone know what the Scripting Tutorial.pdf is?
"For more information on how to best create a game with multiple scenes, for instance a main menu, a high-score screen, and actual game levels, see the Scripting Tutorial.pdf"
I have no idea about the .pdf, but using multiple scenes is very easy task. When you have the scenes you want, for example mainmenu.unity and level_1.unity. You go to File->Build Settings. When you have your scene active, press "Add Current", to add that scene to the Scene List.
On the right side in "Scenes In Build" list you can see the number of the scene to refer to.
Then just use the function Application.LoadLevel(x), where x is the number of the scene you want to load.
Hope it helps you out.
you should click on tutorials link in the link that you provided. it will take you to this page. in this page you can download the PDF which is a simple scripting tutorial for novices. your reputation shows that you are more professional than a guy who needs this.
about using multiple scens i should say it's relatively easy. just create your scenes using file/new scene and then put objects you want in them and save them. then add all scenes in build settings dialog's list of scenes. you can load any of the scenes in the list using their name/index number by a call to Application.LoadLevel. even you can download levels and load them after downloading in your web player builds. you will learn more yourself about this feature called "streaming build" later.