By "cutscene" do you mean an AVI video or a scripted in-game sequence?
Basically, if you explore the demo project, you'll see the following:
The "game.script" script file is executed first; in the demo, it loads the actor and then it loads a scene (Game.ChangeScene(...)) You'd have to change this script to either play a video (Game.PlayVideo("filename.avi")) or to load a scene, where your scripted intro sequence will take place.
As for the main menu, you should make a scene (empty, or with some background graphics). Note that the scenes have (by default) a "scene_init.script" script file attached. This script is executed when the scene is loaded in memory.
In your "menu" scene, you would load a window at startup, the window will contain buttons for load/new game etc.
Sooo, after your intro sequence is over, you'll load the "menu" scene, it will in turn load the main menu window and present it to the player.
After the playe clicks "new game", you'll just load another scene (the one where your game actually starts).
Whew, it sounds complicated, but in fact it's just a matter of a few script lines. Maybe I should make some demo on this topic, it will be probably handy to many beginners.