I have YGOpro percy, so I hope it has the same main menu as yours. There five options at the start:
1: Multiplayer: Click on it, then on join. Set a cross on your name and then choose your game mode, single, tag, match and so on. Some YGOpro versions might work a little bit different.
2:AI: Your playing against an artificial intelligence. Set your life points, banlist and so on and your good to go.
3:Puzzle Mode: It is a field prepeared by other players. In order to win you have to make a certain move and solve their challenge.
4:Watch Replay: You can click there on your replays and watch them.
5:Deck Edit: There you can make your deck. At the top left side you choose your deck, save it, and choose a banlist. At the right side you search for your cards. Under the effect button you can even search for certain effects.
I hope I could help x3