First, why are you using SET SPRITE FRAME? Do you have 5 menu screens, and are using sprites to display them? PASTE SPRITE might work better. Or just paste your big image on the screen, offsetting it to the left in 640 pixel increments.
Next, PLAY SPRITE must be inside the loop for it to have any effect on animating a sprite. Also, you can't use frame zero, the help file example is bugged. But, if you just want to show one of the 5 sprite frames at a time, don't play it, paste it.
Now, I made my own "startmenu.bmp" and your code from the first post above runs just fine, I don't see a blue background, I see the third sprite on my sprite sheet.
However, it also works fine like this...
Rem Project: XarBuild
Rem Created: Sunday, March 14, 2010
`
Rem ***** Main Source File *****
`
set display mode 640,480,32
` [[Title Screen]]
create animated sprite 1,"startmenu.bmp",5,1,1
sprite 1,0,0,1
set sprite frame 1,3
do
loop
See the difference? Once you have a sprite on the screen, you don't need to keep putting it there in the loop.
If that is not working for you, the problem may lie elsewhere. Is there more code? Does it work without the SET SPRITE FRAME?