How do you create a menu using C# in Unity?

For the menu in my game, writing the OnMouseEnter/Exit and color change is all I know how to do. How do you start up a game once a player has left clicked text (Play), how do you give option to change mouse sensitivity on another menu (options), how do you give the option on how dark/light you want a stage to be, and how do you make other stages unlockable and able to select option to play via options menu once unlocked?

Just use the Unity GUI system. The scripting reference(GUI and GUILayout) will help you with most things. Just take the time to read. There are also a lot tutorials / video tutorials out there.