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Not quite sure what you mean. When you describe "the menu" like that, it sounds like you're talking about the launcher window. Title, image, and three buttons on the bottom, likely with messed up text and (P), (I), and (X)? If that's what you're looking at, the left option is to Play and the middle option is Install. Install shouldn't be necessary with a downloaded copy.Just use the left button to start the game, and click through all the startup messages to get to the title screen. The Load option on the bar at the top is available at that point. Is it not working anyway?