The scene you are referring to, when Bluntschli enters Raina's bedchamber, occurs quite early in George Bernard Shaw's play Arms and the Man, and lays the groundwork for an exciting plot as well as some intriguing philosophy in regard to soldiers, war, and courage. 

The play is set in 1885 in Bulgaria as the end of the Serbo-Bulgarian war nears.  Just before Bluntschli--also known as the "chocolate cream soldier"--enters, Raina and her mother Catherine have been discussing the news of Raina's fiance Sergius.  Soldier Sergius has led a successful cavalry charge against the Serbian forces, who are now being hunted down throughout the city.  Louka, the maid, comes in to announce that it is crucial that doors and windows be locked because of these fleeing soldiers.

After Catherine and Louka leave, Raina kisses Sergius' photo.  Moments later--the balcony window having been left unlocked--Bluntschli enters to offer quite a contrast to the puffed-up bravery of Sergius.  Bluntschli does not carry ammunition but rather chocolate creams--an element of Shaw's anti-war satire.  At first Raina mocks him and gives him chocolates, but this is only the beginning of the story.