A scroll is a book written on paper that is so long that it has to be rolled up. You read the book by unrolling it, one page at a time. Scrolls were common till about the third or fourth century when they were replaced by the codex, what we would regard as a regular book (separate pages bound between two covers). Of course, to Ovid or Cicero a scroll was a “regular book”.
The writing in a scroll did not go from beginning to end without a break. Instead it was divided up into what were called paginae, which indeed we would recognise as pages.
Each scroll was called a volume, from the Latin word for roll. A book might contain several volumes which were kept together standing up in a round book box. A scroll could contain about 25,000 words, a little longer than the Gospel of Matthew. The history of Thucydides, for example, would take about eight scrolls. That is why even today his history is divided into eight “books”.
You could tell what a scroll was about without unrolling it because it had a bit a paper on the outside called a titulus which told you about the contents. That is where the word title comes from.
The paper for a scroll was made out of papyrus, which is much thicker and stronger than our paper, so it would not tear easily.
Most scrolls had writing on only one side of the paper (though some had writing on both). That means a scroll requires twice as much paper as a codex. But because a codex made better use not just of paper but also of space, the difference is worse than even that: where a scroll could hold the Gospel of Matthew, a codex, even an early one, could hold not only all four gospels, but the Book of Acts as well! So, early on, one codex could take the place of four or five scrolls.
From our point of view, scrolls were hard to read — they were not the sort of thing you could read under a tree or on a long journey.
Another disadvantage of a scroll, of course, is that it is hard to find and get to a certain spot in a book. For the most part it had to be read from beginning to end. Something like a dictionary or encyclopedia was nearly unthinkable — and, in fact, they did not become common till the codex took over.
Note that the web page has some of these very same disadvantages as the scroll!
The rise of the codex seems to have gone hand in hand with the rise of the Christian faith. Christians may have invented the codex and, in any case, were known to prefer them over scrolls long before they became respectable.
Some books did not make the move from scroll to codex and became lost as a result, such as the plays of Menander.
See also:
Abagond 
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