You can use the LoadGame function to load a .ged, .dat or .exe file. I prefer to do this from the main menu, but in-game, it can be better to use activation regions and move actors to change levels.
See all those demos down the left side of the screen? They can be downloaded, with source, and examined at your leisure. Awful handy learning tool. And the shark demo is hilariously good fun. Highly recommended.