From: MN, USA
Most published scenarios are uploaded to https://harpgamer.com/harpforum/files/category/5-scenarios/ . Select your BattleSet of interest on the right-hand side then find a scenario to download. Download the zip file anywhere and unzip the contents anywhere, as long as you keep track of where you unzip. I pile them all up in the game's main directory which is C:\Matrix Games\HUCE\ by default. You are correct about then opening the scenario in the game, fire up the GE/Winharp32.exe (or HC Launcher), select the BattleSet then click the "User Scenario" button and navigate to the scenario file.
When you are at the scenario listing, such as https://harpgamer.com/harpforum/files/file/953-fire-and-fury/ you can see which database is required. Pairing up the database is still a manual effort, much to my chagrin. In that example, the database is HCDB2 which you would also download from HarpGamer, https://harpgamer.com/harpforum/files/file/934-hcdb2-170909-1980-2025/ . Once again, I unzip right into the game's main directory.
Some folks assemble well organized tree structures
C:\Matrix Games\HUCE\UserContent\HCDB2 then store the database and all scenarios for it in that folder or even in a subfolder for each scenario and/or version of database. These arrangements benefit from the use of the HC Launcher, https://harpgamer.com/harpforum/files/file/445-hc-launcher/
Let us know how you fare and join us over at HarpGamer sometime.
Harpoon (HC, HCE, HUCE, Classic) programmer HarpGamer.com