Virtual Machines in a Scale Set provide a great way to spin up many identical machines in parralell. Thes VMs are all based on a common VM image and so unless all you need on your VMs is Windows, you are going to need to load applicaitons and data into these VMs. Getting your applications into that image can be done one of two ways:
Use a Gallery image for your scale set and apply your applications on each VM when it is deployed using something like the PowerShell DSC extension, or Chef/Puppet etc.