In this menu you're able to select custom levels to play.
You can make your own levels using CAPEDIT leveleditor. Save your new level into "custom levels" folder. Remember to use .lev file extension, otherwise your level won't be visible at custom levels selection screen.
If you want to, you can create a whole new set of levels to the game. All levels in "levels" folder are made with this same editor. You can edit them or create new levels. Just don't change level names (level1.lev, level2.lev etc.), and remember to include all 32 levels to "levels" folder. Otherwise game won't work anymore!
You can use your custom levels with multiplayer game too. Only player that created the game have to have custom level in his/her machine. Players that join the game will download level automagically.