Creating your own scenery requires a scenery content creator software package. These usually have an intuitive user interface that lets you select from a library of objects and textures, placing them where you like in your virtual world. Some of these design packages are not only free but also better than many commercial versions, e.g. Airport 2.0.
If you are a programmer you may wish to generate scenery in other ways, for instance it would be handy to write a little C rountine to place loads of randomly sized and textured house objects into a city. Unfortunately *.bgl files are in a binary format so creating you own scenery by hand or developing your own content creator isn't easy, however there is a free Software Development Kit from Microsoft's FS98 Downloads
Also people are working on packages to convert from other graphic file formats e.g. AutoCad to *.bgl.
You can also create adventures (if you have MS-Excel) with a macro enabled Excel file - free from the official Microsoft CFS site. (I'll talk about this at a later date)