Use the menu screen to pick whether you want to use Angel Island, Hydrocity, Marble Garden, Ice Cap or Mushroom Hill to build your scene. Click the icon and not the text of the option you want to select.
The location you chose also includes a wide range of options you can add to the scene. You might want your scene to include a ramp. You may want to create a challenge for Sonic to avoid by adding spikes. You can do this and much more by clicking and dragging any of the items you see at the bottom of the screen.
You will also see that you can add multiple characters to your scene. You get to decide what Sonic, Tails and Knuckles are all doing in your custom scene.
Directions
Select: Left Click