"Scald" can mean a cooking technique, or a disease that hits fruit.
In cooking, though usually used in reference to milk, it means to heat a liquid to a point where it's just about to reach the boiling point. At this point, small bubbles will start to appear around the edges. There should also be steam starting. You remove the liquid from the heat before the scald turns into a boil. It can be done in a saucepan or in a microwave.
Many people speculate as to why old recipes for bread -- and some new ones -- direct you to scald the milk first. The recipes give any reason why. Some people speculate that scalding was necessary in the days when milk was unpasteurized, to make it safe. Others speculate that it was to bring the milk up to a certain temperature for the yeast or the recipe (though they can't explain why you're supposed to raise the temperature way up and then let it cool right back down.) Some say that it was an old wives' tale, and that they never bothered scalding milk ever. Some say that they'll willing to believe heating the milk was necessary for some reason or other at one point in time, but that it's probably not now because all milk has been heated during pasteurization. Other say that they don't understand why they're being told to do it, but that they follow orders and do it.
Not even the experts agree about what scalding milk achieves.
Howard Hillman, travel and food journalist, writes: "Scalding has two primary purposes: to kill pathogenic microorganisms and to destroy certain enzymes that would keep emulsifying agents in the milk from doing their thickening job. Since those two goals are accomplished when milk is pasteurized at the dairy, scalding need only be done when you use raw (unpasteurized) milk. Many cookbook writers do not know this fact and therefore direct their readers to scald the milk even though it is usually unnecessary today." 
A food scientist professor, however, believes that it is necessary. Zoe Ann Holmes (Emeritus Professor, Nutrition and Food Management, Oregon State University) writes that there is an element in milk that can weaken gluten. Food scientists aren't sure what it is yet (as of 2006), but suspect it's a protein in the milk that acts somewhat as a protease. Heating the milk to 198 F (92 C) inactivates the element -- whatever it is. If left active, the bread will be coarser and less risen than one made with scalded milk. 
If it's Professor Holmes who is correct, what consumer-purchased milk would have reached the 198 F (92 C) temperature?
Not powdered milk. Powdered milk is now made by spraying droplets of milk through air heated to 392 to 428 F (200 to 220 C) onto a roller -- but the droplets of milk don't come close to reaching the temperature of the air because the heat energy is used up during their brief fling through the air in evaporating the water from the milk. Though, the King Arthur Flour company of Norwich, Vermont sells (as of 2006) a special "Baker's Special Dry Milk" (powdered milk): its "high-heat processing disables protease, an enzyme that normally slows down yeast growth."
HTST pasteurized milk is treated in a temperature range between 160 to 165 F (71 to 74 C.)
It's only UHT pasteurized milk, treated at 280 F (137 C), that is heated above the 198 F (92 C) temperature that Professor Holmes specifies. But, it's only held at that temperature for about 2 seconds. It's not certain if that's enough for it to qualify as scalded. (Besides, UHT milk is very hard to find -- the process is normally applied only to cream.) Professor Holmes writes, ..."irregardless of the milk, if you don't know it has been adequately heated, scald it."
Cooks are also advised for scald milk for pumpkin pies, and for custards in general. The intent seems to be, as Hillman puts it, "to destroy certain enzymes that would keep emulsifying agents in the milk from doing their thickening job" (though he disagrees that it's still necessary.)
Some yoghurt experts advise you to scald milk because even pasteurized milk can contain some bacteria that might compete with the bacterial culture you are introducing to make yoghurt. A scald temperature kills the bacteria that pasteurization missed.
And then there's the mysterious Scalding suggestion by Sarah Tyson Rorer, founder of the Philadelphia Cooking School circa 1883: "To make good ice cream, it is first necessary to have a good quality of cream. Scald half the cream to prevent excessive swelling."
All that being said, most home cooks now maintain that they ignore scalding directions, and life in the kitchen has gone on without the ceiling falling in. You can probably keep on doing what you are doing, scalding or not scalding, until more science is found on this issue one way or another.
Scalded milk should be cooled to about 110 to 115 F (43 to 46 C) before yeast is added; an instant read thermometer will remove doubt from your mind as to whether you are cooking your yeast beasties before their time. Grandmothers, of course, just tested the temperature with a few drops of the milk on their wrist.
The skin that forms on top of scaled milk is protein which has coagulated as moisture has left it.
 Hillman, Howard. The New Kitchen Science: A Guide to Knowing the Hows and Whys for Fun and Success in the Kitchen. Houghton Mifflin Company. Boston: 2003. Page 102.
 Holmes, ZoeAnn. Why does one scald milk for bread production? In "Food Resource 1996-2006." Corvallis, Oregon: Oregon State University. Retrieved 4 July 2006 from http://food.oregonstate.edu/faq/bread/bread12.html.
 Sarah Tyson Rorer. Mrs Rorer's New Cook Book. Philadelphia: Arnold And Company. 1903 edition. Page 600.
Scald is sometimes used when the word a recipe writer really means is "blanch", as in "Just stem and wash the berries, scald them in boiling water for one minute, cool them in ice water and drain off the liquid."
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Ebouillanter (French); Escaldar (Spanish); Escaldar (Portuguese)