I have Norton Internet Security which quarantined mad2d.dll, hotween.dll and madcommons.dll files during install. Something I did not notice the first time.
Restoring these files restored the games menu functionality.
Very interesting feedback, thanks for taking the time to share.
I wonder why these files were quarantined, did you download it from IndieDB?
New version now available (0.7.02D) closing thread. http://www.indiedb.com/games/shallow-space/downloads