The first time you play Fire Emblem Shadow Dragon, you will find only one main option available, which is to start a new game. By selecting the left image, you will start on the new prologue featured in this game, where you will learn the basics of playing the game in a nice tutorial and obtain characters that you cannot obtain in the normal mode (Norn and Freyr).

By selecting the second option, you will be presented with 5 different difficulties, with stars based on their difficulty.

1 Star* = Easy
2 Star* = Normal
3 Star* = Hard
4 Star* = Very Hard
5 Star* = Intense

Once you select one of the modes, you will begin on the prologue featured in the original Fire Emblem 1: Shadow Dragons and Blade of Light, with all of your units starting at their default levels and stats. This is how to start a new game and select the mode you want.