i recommend to make a menu in gamemaker,c++,dark-basic(or db pro),or other know game creators.
fpsc menu have lots and lots of limitations,i'm working on a game(made in fpsc tho) and i made another menu in gamemaker that has lots of option(change fpsc resolution,change keys,etc,etc)
in my game on every level you get a code at the begining,you can insert the codes you get to unlock mini games and more in the gamemaker menu.
so ill recommend to make the menu in another game making app,i hope they add more menu feathers in fpscx10.
but just like Locrian said you can code them in the setup if you know the script lang,but its very limited.
yo yo yo.