To answer your question, the first one is to start the game, the second one is to set the game information, and the last one is to quit.
Clicking Start Game will pop up four options: the new game is a new game, the second loading game is to continue archiving, the third is to delete archiving, and the last one is to return.
Clicking the second option setting will pop up a bunch of things, so don't mess it up, or something will go wrong. Only the third option, display setup, is useful for setting the game screen, and what is inside is self-evident, because there is nothing of high quality in Sin City's game, you only need to change the resolution, and other changes will not be improved.