Burp has a subtab called Scope under the Target tab. The most common way to add a target to Scope is to navigate to it using your browser, find it in the Site map subtab under the Target tab, right-click on it, and select Add to scope.

For example, if we have permission to test http://download.mozilla.org, and we want to add it to the scope, we do the following:

We can always edit the URL in the URL editor window if we need to tweak it a bit or if we made any mistakes and added something we shouldn't add. Have a look at the following screenshot:

Apart from adding the URL to the scope using the context menu, we can always paste the URL of the target as well. When we paste the URL, we can choose the protocol, host/IP, port, and filename.