Basicly you could just make a new level in wed, add a small cube to it in the center, save and build it, add a script to it. Thats going to be your all-project-main-script.
Now into the main function of this you would put in the call for the main-menu function.
I would put all menu related stuff in an external .wdl file.
Make sure that your "all-project-main-script" includes ALL .wdl files you need in your entire game.
Now from the menu you load the first level and so on.
For ingame menu, just make the main-menu function accessible over a key, or if you want a different menu ingame, just put that onto a button or whatever.

regards Thunder