Do you want to change the words or what the options actually are?
To change the words, just go to Scene_Title in the script editor and look for this line:
# Make command window
s1 = "New Game"
s2 = "Continue"
s3 = "Shutdown"
(should be around line 36 or so)
And change the words to whatever you like. Changing what the options actually do is a little more complicated and you might need to employ a scripter for that.