This is actually much simpler than you might think it is.From what I understand about the example you gave, I would guess there are 2 elements involved: 1) setting up a standard score, and then hiding some (or most) of the measures; 2) a graphic for the arrows.
The graphic you can create in any graphics program, and then import into Finale. (Graphic Tool, "Graphics" menu, "Place Graphic..." option.) Make sure it is in EPS, PICT, or TIFF format.
Use the Staff Tool to select measures you want to make invisible (a l‡ a cut-out score), then select "Apply Staff Style." In the dialogue box that appears, scroll through the list of options to select "Hide Staff." (On my version, the "Hide Staff" option has a letter "H" in parentheses after it, indicating that, when you select staves with the Staff Tool, you can then type "H" to hide those measures.)
Combining these two techniques ought to get you to the result you had mentioned.
