When you start a new game just click new and it will take you to a screen and you get to create some minor details on your guy.  You get to change his color.  You can change his name.  Then you can start your new game: just start at the first one and as you go on you just go to the next one.  And then you play. The first fight is pretty easy.  That is how you start a new game and then you just keep playing.