The way I did it was by adding a new Action Mapping called Skip Splash Screen.
Then on my menu player controller, I listen to that input event and call a custom event dispatcher called On Skip Splash Screen.
Finally, on my main menu widget screen, I listed to that event dispatch from my player controller and make the main menu screen to pop up.
That basic menu can always be converted to a fancy one. All you need to make the design is buttons (made with photoshop or whatever you like). The problem comes when you add the functionality to all of those buttons.
I dont remember a good video tutorial (up to date) that shows on how to make the menu from scratch (without the design, that one is gonna be the easiest part, just play in the widgets blueprints), but you can look into this ( from the picture you posted) → https://docs.unrealengine.com/latest/INT/Engine/UMG/QuickStart/3/index.html.
Once you have the scripting done, you can design it however you want as long as you have button images ( you can use a button for hovering the menu, pressing it etc) and you can also add sounds for every button press on the menu.
Edit: in case you dont know how to add the images → make a folder, import your images (png works best for these kind of things), go in the widget blueprint (for the menu), click a button and on the right side you’ll have all the options such as images & sounds.