The only problem is eventually your first scene is going to end, and then what? How do you get your hero from the evil king's dungeon and out to the jousting tournament? And what about the fair maiden you introduced just before your hero was dragged away by guards - will your hero ever find her again? And how do you get the readers to understand just how important it is for the hero to take over the kingdom?
There's only one answer to these burning questions - you have to plot your story. Easy, right? After all, it's all in your head already. I spent most of the day yesterday plotting a new story with a write friend of mine. We were about two hours into the process when she leaned back, looked at the ceiling, and announced, "this is the hardest part." And she was right.
But no matter how hard it is, plotting is a necessary evil in creative writing. Every story has a plot. Some stories have plots that offer conflict, hold suspense, tie in loose ends, and keep the reader reading. Other stories, not so much. The major difference - if the author took the time to think it through.
There are some elements your plot must have: The classic Act I Beginning, Act II Middle, and Act III End, complete with action/reaction moments, character tracking, and building conflict - all of which is much easier to weave together if you actually have it written down.
There are all sorts of techniques for plotting out a story. You can go old school with index cards (which are now color coded and taped to my study walls - thank you loving husband who doesn't mind the new wallpaper), you can create a spreadsheet, you can write a one-page narrative hitting the major points of your story. One new method I'm trying (pretty successfully so far) is the Snowflake Method developed by Randy Ingermanson. Or create your own format.
Just make sure you can move your scenes around because suddenly you'll need to get the hero to that tournament before he gets a message from a mysterious knight, and you'll need to adjust your scenes accordingly. Remember, your plot is going to change. Not maybe, it will definitely change. But having your story plotted in advance makes those changes way, way easier to work in. Not to mention how freeing it is to sit down to write and already know what your next scene will be.
Plotting costs time, but the writing you get out of it? Priceless.