"Falls out of scope" means when there are finally no more references to the object/no longer in the stack, i.e. no more objects have access to, or control over, it. As a for-instance, after a simple form - with a button which does nothing - closes completely, the form, along with all the controls on that form, are no longer "in scope".
Now, say you had a routine assigned to that button's Click event on that form... In the Click event handler, you declare a new class, then run a routine from that class which just contained an endless loop with a DoEvents inside it... That class now is in-scope along with the form that called it.
You can close the form, however the class and the form are both still in scope, because the class' routine has not passed control back to the form. So thus the form and class are still in-scope, even though the form has disappeared. If you somehow exit that loop (maybe it counted to a million), the form will then be allowed to fall out of scope (and close completely). Now, as long as you didn't access that same class (meaning the instance of it, not just the class itself) you created anywhere else, it, too, will fall out of scope along with the form.
Hope this helps; this was about the least complex explanation I could think of.