How to have menu options perform an action using the Canvas UI system?

We have been attempting to use the canvas UI to make a menu for our game. However, we have been struggling to figure out how to actually fill in an action for the menu while using the Canvas UI system. We have it so that we can select different options, and it registers that the buttons are being pressed because we changed the colors to see that. However, we are struggling to figure out how to actually have the menu options do anything. Any information would be helpful, thank you.

If you want to add button function while in editor:

Click at button in hierarchy and at inspector Scrolldown to button and it will see On Click() (Red square)
Press to add an action (Orange circle) and drag gameobject with script to at None (Object) (Example at green square)
After that click at No Function (After gray arrow)

If you want to add button function runtime dynamicly:

public Button startGame;

void Start()
    //For a better looking script & Multiple function
    //For a complex or only one function
    startGame.onClick.AddListener(delegate { Clicked(); });

public void Clicked()
    Debug.Log("Button has been pressed!!");