You keep track of the level data (objects, sounds, images, what-have-you media) and then unload it when changing level, after which you load the new level's data. Usually you have some set starting position that you will want to move your player to when changing levels as well.
More in detail, you should store information about your different levels in some type of file, that way it should be easy to read it in when you need it (as opposed to building your scenes in hard code).
"Why do programmers get Halloween and Christmas mixed up?"
Because Oct(31) = Dec(25)