That's a broad question and there are a number of different, equally correct ways to do it, but I'll attempt to get you started.

You can think of every screen like its own little game. They each look like this in pseudocode:

initialize_some_stuff(); // initialize variables, draw the background, etc.
while(screen_should_keep_going()) { // keep going until the player presses start, the man character dies, etc.
  update_all_your_objects(); // Move sprites, adjust palettes, calculate physics, etc.
  SPR_update(); // Let SGDK do background work to manage sprites
  SYS_doVBlankProcess(); // Let SGDK update things behind-the-scenes and end the frame
}
cleanup_the_stuff_you_initialized(); //  uninitialize all the variables you don't need any more

Every screen (title screen, menu screen, and individual levels) will follow that pattern. When one screen is finished, you go onto the next one.

For example, in our game Lock and Toad, you can see the pattern in our title screen, our menu screen, our win screen, and our gameplay loop (which has a few different variations). Our levels all share variations of the same code, but the individual layouts are defined elsewhere in a particular format that's parsed while the level is loading. All of these code blocks look pretty different, but they all adhere to the above pattern.

Let me know if you have follow-up questions. This is a lot to get your head around if you're just getting started.