Yes, it's done with a self switch and a new page. But what I think would be better than me explaining it in detail here is for you to have a look at this thread compiled by Andar, as your question concerns one of the most basic tasks using the engine.
Andar's thread has all the basic information that new users such as yourself need. Spending a little time on it now will save you a huge amount of time and frustration in the future.
Make a new page in the event, set it to activate when a self-switch is activated - look to the left-hand side of the event page, you'll know it when you see it. Go back to wherever the event you have set up ends - insert a new command to turn on the self-switch, it should be the very last thing on that page that you insert. You'll find the command on the first page of event commands, also on the left-hand side when you go to insert a new command.
This makes it so that when the event/scene you have created is finished, it will change the event to just be nothing - exactly what you wanted.
Edit: Heh, ninja'd. I also suggest you do what ksjp17 suggested and go to the link he provided. It'll help you better understand the software and how to use it.
Revisiting one of my older projects in a long time to work some more on the mechanics. I've been working on- and off-again for about a year now on recreating the Force and Mystic systems from Wild ARMs. And I think I've finally made some good breakthroughs on that!
Still, it is not perfect and I may post my thoughts at a later time to see if there are any other suggestions or alternatives I've missed.