I have

Ubuntu 8.10
Blender 2.46
A fresh Yo Frankie! download

When I start Blender and then load start_menu.blend, the opening screen mostly appears, but with no text on the sign. Nothing happens. Nothing can be done within the game. I can't even quit Blender. But Blender is still doing something. When I resize the window, objects move, or on occasion break up. Sometimes the window goes blank.

I don't see a bug tracker for the game.

Also, there are no instructions for the game anywhere that I can find.

Sounds like a graphics issue. If you are running Ubuntu, you are probably running compiz. Compiz has trouble with OpenGL apps. Turn it off.