If you're new to programming with C++ in general, I really suggest to get a
good book an read it through. C++ is not a language you learn within a month or two.
A main menu can be implemented and many, many different ways. One popular is to use different states/screens. There are numerous tutorials on the internet, about game states etc, just google a bit. There's also one on the
SFML wiki and I've created a
SmallGameEngine based on a
tutorial for SDL, but I used SFML.
In theory, a main menu can just be an image with a few buttons; you capture the mouse and/or keyboard input and give some visual feedback when the mouse is over a button or a button is selected.