How do you create a object to change the scene in the game?

Short answer:

Create a game object with a collider that represents the 'trigger volume', and check the 'is trigger' flag for the collider. Then, in a script attached to the collider object, add code similar to the following (UnityScript, untested):

function OnCollisionEnter(collision : Collision)
{
    if (collision.gameObject.tag == "Player") {
        Application.LoadLevel(<index or name of level to load goes here>);
    }
}

The above code assumes that the player object is tagged as 'Player', but you can use another tag, check the name of the object, or not check at all if you prefer (for example, if the player is the only object that can intersect the trigger).

Application.LoadLevel() can take an integer index (the index corresponds to the index of the scene in the build settings) or the name of a scene. In both cases, the scene must be included in the build settings in order for LoadLevel() to be able to load it dynamically.