Level Select

This menu will appear if you start a new game or load a saved game. It gives you an overview over which levels you have unlocked and collected all peaches in. You can enter levels you already have unlocked by pressing enter when the desired level is selected.

This is what the level selection menu looks like:

The blue levels are the ones you have unlocked and the grey are the ones you have not. When there is a peach icon in the lower right corner of a level, it means you have collected all the peaches in this level.
Peach icon