So you start out at this menu screen:





You then need to put your cursor at the position circled in red:





Next click "Play" and then in about 1.5 seconds click again with your cursor at the same spot, at that time your cursor should be over the "Options" button and it will be clicked, then your pug should be running in the background and the menu is still open. You can then click "Back" and navigate all through the menu while still playing Turbo Pug.