The splash screen gives you four choices: "New", which brings up a list of games; "Open", which allows you to pick a file; "Connect", which will (when it works) allow you to pick a game to join; and "Quit", which lets you escape.
Usually you will want to choose "New", which brings up a dialog listing all the games. You can select one and see a brief description of it.
You can also load a game from a file by choosing "Open". This just uses the standard Mac file-opening dialog. You restore a saved game this way. You can also open from the Finder by double-clicking on the file's icon.