Since you can interact with the main menu, the engine (such as it is) is running okay. I have seen behaviour like this when I build the game and forget to set up the data directory correctly. It should come correctly out of the zip file, but who knows.
- do you have the correct directory structure - in the root directory "painted.exe" and a subdirectory painted_Data; this contains a subdirectory Data with some stuff about ships and weather in it?
- when you click on one of the menu items and nothing happens, does the game hang, or can you still interact with the menu?
- what is in "output_log.txt" in painted_Data?