I was using the Cryengine 3 sandbox editor for Crysis that Crytek released before this SDK, and I was able to run every level that I did inside Crysis 2. And I can say that it is very good game engine and it has a great editor.

Now, with this SDK, you have to run the Launcher.exe to run the game outside the editor.

If you want it to automatically load the first level of your game, just create an autoexec.cfg file in the the root of the Engine (the same folder the system.cfg is in) and put this inside:

map Forest