Data scientist means a lot of things, but in general I can say the role includes a lot of working with data to do something useful. In some cases, such as in my job, it might be to answer questions nobody else has answers to, in business speak referred to as "drawing insights". In some cases, the purpose is to build algorithms to predict things. I notice you have posted a few other questions about finance, and I think in this field the predictive analytics might be most relevant.
The basic requirement for a data scientist is to be good at quantitative analysis. Make sure you are taking math and economics classes, and it might even be helpful to learn some programming software such as Stata, R, SPSS, mySQL, Python etc.