This is a standard Windows menu. The only thing out of place is the Messages option, which will bring up Worldcraft's Messages window. The message window will report any problems Worldcraft had with loading its game configuration files. Typically, you will only see a message there if you have modified your FGD file in some way and made a mistake.
Common errors you will see...
error parsing quake.fgd, line 1055: redefinition of class 'func_bobbingwater'
To fix this, you would have to delete one of the entities definitions in the file. Most likely, you should delete the first occurrence of it, as it probably has been improved my a patch, and there will be more options programmed into it in the newer version. When removing an entity from the quake.fgd file, care must be taken to remove the entire entity definition. This includes the first line, and everything in between its [ and ] brackets.
error parsing quake.fgd, line 1052: expected @
error parsing quake.fgd, line 1052: unrecognized section in name base
These will occur when you neglect to put a '@' before you start to define an entity, starting a definition with SolidClass, as opposed to @SolidClass.
error parsing quake.fgd, line 1052: expecting '(', but found ':'
This will happen when you don't place a '=' character in the entity definition's first line (@SolidClass base(Appearflags) func_bobbingwater : "Bobbing Water")
error parsing quake.fgd, line 1054: expecting string
This occurs when you do not properly add the quotations around a string. This is most commonly done when, by mistake, you are setting up a default value for a string, and enter something like 4, as opposed to "4".