You've got loads of options to do this, and I'm kind of surprised that there isn't a tutorial to cover this.
The easiest way by far is just to have a series of sprites on which the user clicks/taps using the mouse and/or touch object. In that sense, any sprite can become a button, you just use the mouse -> [On object clicked] action instead of using an action from the sprite itself.
As for keyboard input, that's a little trickier, but here's a quick example for using the left/right cursor keys to navigate a selection screen. Press return to select the level. Example capx
In my example I'm assuming all levels are labelled "Level 1", "Level 2", etc. The text action is just an example of how to use the currently selected level, you'd usually use an action like [Go to layout] -> "Level "&Selection.Selected+1