The first option selects your character.
The second selects your stage, left and right to change stage numbers, L and R triggers to change act numbers. There's no limit to which act you can choose.
Mode changes the different mode types (duh), like Adventure, Trial, Action, and Mission. "Auto" automatically selects the most logical option.
Event will play a different cutscene
Movie will play the different SFD movies in the game. (Pre rendered scenes)
Title will allow you to play during the advertise demos on the title screen timeout. Probably used to record demos.
The rest should be obvious.
The most interesting utility is the memory card utility. It's a very extensive tool to edit save data in the game. Very complex, and very confusing at times. Screenshots:
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