You say you can open them -- how are you opening them? or, what exactly are you doing to open them? (need clarification as to what you mean by "open" in this case)

I have tried downloading scenarios that people have made from the greenfoot website, but there's no compile button, so I can't change anything. I also don't know how to make my own actors and worlds instead of those clipart images.

The compile button isn't needed. You can just change something and it will compile itself (or show the errors you made). If you put an image in the images folder of the scenario, you can use this image.