Indeed. What I meant is "nothing" isn't a very explanatory word when describing what happens on a computer screen.
So, when you click the level, then "fight" (do you see the fight button ?), it ... freezes ?
Normally, right after you select the level and hit start, you have a "difficulty selection menu", then you click "fight" once again, and you got a quick "Awaiting gamestate" message and then a background image of the level preview where you see items being loaded.
You may try to run the game, open console, and type:
... for instance, to get a game started without using the normal menu.