A Sprint is a fixed duration event, typically less than a month.
All the work to create value happens within a sprint.
This includes Sprint Planning, Daily Scrums, Sprint Review, and Sprint Retrospective, happen within Sprints.
This is why Sprints are the most well known part of Scrum.
Although, a Sprint is often illustrated as a loop, reality is more mundane and straightforward.
Once Scrum starts, a Sprint will start, proceed, then end, to be immediately followed by the next sprint.
There is no actual loop.
If, for example, an organization decides that their sprints will always start on the first day of the month, and end on the last day, you can easily see that each month is a Sprint. And that would be it: each new month is a new sprint, within which other Scrum events happen.
Scrum is always in a sprint
Sprints are more special than a "calendar month".
As you can see in the image above, the product backlog gathers input from the organization's vision and customers' feedback.
The product backlog itself is not a repository of specifications. It contains prioritized features or actions that will create value for customers. Then, a subset of these actions is selected to be part of a sprint.
This subset, the Sprint backlog, is then transformed in actionable, specific tasks, that will create value.
How to do this is decided within the Sprint Planning phase of the sprint.
Near the end of a Sprint, if everything went according to plan, a new Product Increment has been created.
The increment is not necessarily released to the public or customers, but it exists. It is an addition to the existing product, which now is more than it used to be.
And another Sprint starts right after that. This could be for as long as the organization wants or needs it to.