Main menu does not show up

That is unnecessary as it won’t change anything. You just need to create a new empty level, go into your project settings, and set the default level there to be the empty level. Then, move your code from the ThirdPersonMap level blueprint to the new empty level blueprint (the code which creates the main menu UI and displays it). Again, it does not matter where you put files, they can be put anywhere. All that matters is how you implement the functionality to use them correctly. You said you were new to Unreal Engine, but do you have any programming experience? If not, and frankly in either case, you should look at the documentation before proceeding further. There are many Blueprint tutorials and explanations in there to get you started. Also, many of your questions are already answered in the documentation as well. There is a lot of basic information you need to know before you move on trying to tackle a project. We all have to start somewhere, best of luck!