Are you pressing the "jump" button at the select screen? Because in the latest version this button is used to quit from the select screen.
According to your report (pauses and fades out back to the start screen), it seems that you are using a different OpenBOR build. I suggest using the one that comes with the game, that goes instantly to the title screen at the moment you press the "jump" button, instead of the "fade" effect you mentioned.