(In practice, most—although not all, admittedly—of the Haskell codebases I've worked with tended to be a lot less dense than the occasional combinator-heavy sample code you see in blog posts and comments.)
scanr is a reduce function that produces a list of the reduction steps rather than just the final output. So I'm processing the list of primes and punting out (Maybe i, i i) at each stage (I could have included the type signature for "g" but I was deliberately going for a perl-like style.)
fst3 just takes the first element of a triple i.e. Maybe i. mapMaybe maps and throws away the "Nothing"s. Think of those as nulls.
So, returning to g, it returns a (Maybe i, i, i). The Maybe i is the prime if it's strong, Nothing if it isn't. The other two are the previous two primes. So what g does is a) compute the first element and b) copy the new prime (n) into the first location and the previous prime (p) into the second location.
"<$ guard" is a bit of a Stupid Dwarf Trick in all honesty, but the effect is: the expression on the right is a boolean expression. If it returns true, the expression on the left is returned. If it returns false, "Nothing" is returned.
If you are interested, I highly recommend working through this: https://www.cis.upenn.edu/~cis194/spring13/lectures.html (and that means doing the exercises). Haskell's a funny language in that there's a fairly easy way of doing things that would read how you would expect, and a whole bunch of "oh, but this is more elegant" things you can add on top. Thankfully, some of the most cutting edge features like ApplyingVia are actually producing _more_ readable code, not less.