If you managed to complete a stage (for example stage 1). Selecting "Load Game" from the menu shall take you back to Stage 2 where the game was saved.
Thank you^^
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Here is what proper functionality of the game shall go like :
Pressing Enter (aka START button) during the Intro shall take you to the Main Menu Screen. Pressing Shift (aka SELECT button) shall change your option. Once your darkened option is LOAD GAME, pressing Enter to confirm your selection shall stop the Main Menu Music and load the Opening Monologue of the Stage you died last time, after 2-4 seconds. (If the game has not created any save file yet, then the music shall remain off and nothing load, it's aimed to be an unnerving bug-feature).
I hope this helps. ^^