How to begin a game of Battle of Olympus.
From the title screen of the game, choose Start. Then you will be prompted to enter the names of the Hero and Heroine. The official names are Orpheus and Helene, but Orpheus doesn't fit, so you might want to just enter Orfeus.
After this, choose END to start the game (or if the Heroine's name is six characters long, the game automatically begins after you enter the last character.)
The game begins in Arcadia, where you need to speak to Zeus.