I am very confused about scales. I understand that they are a sequence of notes that sound good together but I have no idea how to use them for improv and how to make chords out of them. I am also not sure which scale I should learn first and in which key.

Best website I know of for basic theory questions.

If you have any specific questions, feel free to ask them, but I'd recommend you read through that page some to answer your broader questions.
I think the best you can do is learn some theory first. Learn major intervals and minor intervals, learn the different degrees in a scale, and then listen while playing what you read.

To make chords out of them, you have to notice which notes of the scale make each chord. For example, 1st 3rd 5th make a major chord in a major scale. If we have C scale, C D E F G A B, then C E G make a C major chord. Each note in the C major scale will fit while playing a C major chord.

That doesn't mean it is the only scale that fits, any scale that has a C E G, will fit in a C major chord, because that notes are the ones you are actually playing.

You can learn any scale first, i recommend you to learn major and minor scales in each key first (they're the same but moving along the fretboard, you know what i mean do you?) and then learn the major and minor pentatonic scales. Major is 1 2 3 5 6 of the major scale. Minor is 1 3 4 5 7 of the minor scale.

After that you can learn modal scales but that is another lesson.

I hope it helps, feel free to ask!!
Use that web site or get yourself a basic music theory book.
If you have access to a piano/keyboard... I feel that makes it easier to learn scales, theory behind them, and derivations etc, (but that's just me).
As said above... study intervals. All scales and chords are based on specific intervals. (spaces between notes)

The knowledge is out there just go after it - you'll catch on ... books, teachers, web sites whatever.
good luck.