Play in your Level

Navigate in Content Browser to the Widgets folder, and there you should see WBP_MainMenu asset. Open it, and switch from Designer to the Graph mode.

There, you can find Open Level node. Specify map there which you want to be loaded when Play clicked (be precise with it's name):

Then i recommend prevent Play in Editor Exit with it's default Esc key:

Otherwise you still will be able to open Menu in game using M key (or whatever you prefer, change it in WBP_GameMenu):

Now in the Editor, open Level you just specified, and in it's World Settings expand Selected Game Mode. Select BP_GameMenuHUD as HUD Class:

Select back EmptyMap and you should be ready to go 👍👏

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P.S. you can find Starter_Birds01 in Sounds folder and drag & drop it somewhere in your level, and that will be working example for your Ambient sounds.