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.
I'm listening to iiluminaughtii talking about the secrets behind shady businesses and scams. Meanwhile I'm writing a fanfic about Sephiroth from FF7, one specifically for my stepmom. I'll get to give it to her, too, because my boss said I could take the holidays off! Dec. 22-27 I will be in Orlando, and maybe Fort Myers too, visiting my dad and stepmom!
No more spam from me today, I promise! Just wanted to upload this, people have been giving me feedback that my weapon sprites (which were RTP) clashed badly with my battlers for ages, so today I finally took the plunge and updated them! Really happy with how they came out
So Facebook fraudulently took money from me. They even went through my PayPal accounts to find a card that had the money on it. Thinking about deleting my Facebook account because this doesn't happen on twitter, not even close.