Hello Biff555, and welcome to the forum.
When you build a game, (I'm assuming you are using the full version, otherwise disregard this post) the build-game process creates the game menu's for you. You can alter them by creating new images and replacing the default ones. You can also alter their associated configuration files to make other changes.
When you build a game you select the levels you want to build in order and add them to the build list. The order in which you add them to the list is the order they will play.
To put your game on a CD and have it playable by others, just copy the
entire folder that was created by the build game process to a CD. Remember that anyone who wishes to play your game must meet the same system requirements that you did to create it, including the latest version of DirectX.
Have fun,
Brian.