Rhyme is one of the primary metrical elements in a poem, and it involves the repetition of sounds at the end of or within lines of poetry. A rhyme scheme, then, is the pattern of rhyme found in a poem. The poem you mention, "A Walk Through the Woods" by Rudyard Kipling, does have a rhyme scheme.

To determine the rhyme scheme, designate each ending rhyme with a letter, starting with A. When any sound is repeated, give that line the same letter designation as the line with which it rhymes. Below is the first stanza, marked with these letters:

They shut the road through the woods [A]
Seventy years ago. [B]
Weather and rain have undone it again, [C]
And now you would never know [B, rhymes with "ago"]
There was once a road through the woods [A]
Before they planted the trees. [D]
It is underneath the coppice and heath, [E]
And the thin anemones. [D]
Only the keeper sees [D]
That, where the ring-dove broods, [A]
And the badgers roll at ease, [D]
There was once a road through the woods. [A]

So, the A-line rhyming words are: woods, woods, broods, and woods. The B-line rhyming words are ago and know, and there are no rhymes in this stanza with again or heath. Lots of words rhyme with trees: anemones, sees, and ease.

The second stanza of a rhymed poem will generally follow the pattern of the first stanza, though the actual rhyming sounds might be different. That is true in this poem, and if we start again with A, the pattern is the same.

Yet, if you enter the woods [A]
Of a summer evening late, [B]
When the night-air cools on the trout-ringed pools [C]
Where the otter whistles his mate. [B]
(They fear not men in the woods, [A]
Because they see so few) [D]
You will hear the beat of a horse's feet, [E]
And the swish of a skirt in the dew, [D]
Steadily cantering through [D]
The misty solitudes, [A]
As though they perfectly knew [D]
The old lost road through the woods. . . . [A]
But there is no road through the woods. [A]

The rhyme scheme for this poem is

A
B
C
B
A
D
E
D
D
A
D
A

Two useful hints when determining a poem's rhyme scheme are first to read it aloud, as that will make the rhymes a little more obvious to you; second, remember that rhyme is about sound more than sight, so do not be fooled when words do not look like they rhyme (such as anemones and trees or ago and know).