Hi Onefreshfish, I know that when you build a game it automatically generates a menu for you that includes the usual "menu items" associated with a game such as;
Save, Load, Exit, and so on. Also, when you pause a game, it pauses, but if you prtess the Esc (Escape) key, it does go to a menu that allows you to save or exit a game.
There are scripts available that can be quite daunting for a beginner, but I do know that you can use the GUI Menu maker that is included with FPS Creator to make your menu more personalized, such as your own artwork and so on. I haven't actually used it yet because I am able to change things in the script to my own liking, so I can't say whether GUI is a reliable menu maker or not.
Anyway, as I said before, when you build a game, it will automatically generate those menus for you. Make a short one level game, then select "build" from the File menu. It's a pretty straightforward process and you'll see what I mean.
Search through your folders inside the FPS Creator folder and you'll see the background images, along with the button images for New, Load, Save, Exit, and so on. From there you can change those (back up the orginals of course) and you'll see that it's really easy to do your own.
Hope this helps you somewhat.
Anything is possible