Where to start and what's the difference?
Let's make it short and sweet: When in doubt, build a scenario.
Scenarios
Scenarios are where you'll do 99% of your work in the budget builder. It's where you'll build your matrices, add employees, and do all your tweaks.
Budgets
Budgets are essentially baskets. After you're done perfecting your scenarios, you'll essentially throw them into your budget basket to get your final totals.