How do you create a menu using C# in Unity?

For the menu in my game, writing the OnMouseEnter/Exit and color change is all I know how to do. How do you start up a game once a player has left clicked text (Play), how do you give option to change mouse sensitivity on another menu (options), how do you give the option on how dark/light you want a stage to be, and how do you make other stages unlockable and able to select option to play via options menu once unlocked?