If you are using the built-in Windows scanning app, the older Windows Fax and Scan is limited and may not make this easy. The printer manufacturer’s app usually works better, such as:
HP Smart for HP printers/scanners
Canon IJ Scan Utility for Canon
Epson ScanSmart for Epson
Brother iPrint&Scan for Brother
Also, if your scanner has a paper feeder, place all pages in the feeder and choose PDF. It should save them as one multi-page PDF automatically.
If you are scanning from the flatbed glass, you usually scan page 1, click Add page / Scan next page, then repeat until done.
For the specific steps within the software, it really depends on what brand of scanner you have and what software you are using; they can each vary.