Either one is fine, not like I can stop you. Since this is most likely your first time playing, you’ll want to hit New Game, unless you want to try out the Quick Battle stuff. You can also change certain functions to make the game easier or harder.
Options: Modify options to make the game work better on your machine.Can be useful to practice without worrying about losing your troops in campaign.
As soon as you launch the game, the main menu presents you with several options.