If you mean BEFORE the game starts (as in, the title screen):

Create a 320x240 pixel bitmap, 256 colors as always. Save it, and import it in a "Title". After that, just go to the System tab and hit the Set button beside the current title screen. There you go.

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If you mean AFTER the game starts (you select New Game, which is apparently what you want):

Create a 320x240 pixel bitmap, 256 colors as always. Save it, and import it in a "Panorama".

Do a 20x15 map, make it all "pink". Go into the map properties (right-click on the map) and pick a parallax background. Choose your panorama, and you're done with that step.

Obviously, you'll want your Party Start Point (tm) on that map somewhere. (As Lenny said, you'll want the hero to be "inviisble" for now.)

At this point, you'll probably want an auto-start event so you can actually leave the map after a while:

<>Wait 2.0 seconds
<>Teleport to real starting map
<>Set hero sprite to whatever the hero should be