I am assumming you are trying to make a GameObject that, when clicked, will load another level. If so, continue on with this answer. If not, explain what you want in the comments below or in your question.
Note: In this case, I am going to use the OnMouseButton() method, since it would suit your needs perfectly
Steps
Step One: Preparation
I would make a Game Object that would act as the button
This includes:
- A 3D Model with a Collider (Cube)
- A 2D Sprite with a 2D Collider (Sprite)
- An OnGUI Element: Note, OnGUI is redundant and most would recomend the next option
- Unity 4.6 GUI Object
In this case, I will make an empty cube
Step Two: Coding
Now, create a new script or use an existing script for controlling the play button. In this case, I will make a script called PlayButton, but the following code will work on an existing script
using UnityEngine;
using System.Collections;
public class PlayButton : MonoBehaviour {
void Start() {
}
void Update() {
}
}
Now, what we are going to use is the method OnMouseDown(), which will run when the cursor clicks the game object. Also, we do not need the Start() and Update() methods, so we will remove them from the script.
using UnityEngine;
using System.Collections;
public class PlayButton : MonoBehaviour {
void OnMouseDown() {
}
}
From here we can do one of two things. We can directly load the next level inside this block of code, or we could call another block of code that would load the next level. I will do both for example sake. In the first example, we will add the code Application.LoadLevel("Scene1"), which will simply load the level Scene1
using UnityEngine;
using System.Collections;
public class PlayButton : MonoBehaviour {
void OnMouseDown() {
Application.LoadLevel("Scene1");
}
}
And that's it! Skip to the next step if that is all you want. If you would rather call a separate method that loads the next level, look down a bit further before moving to the next step.
Now, I am going to make a method, called Play(), that will load the next level. This code will be activated when I click on the Game Object that holds this code. The OnMouseDown() method will simply trigger the Play() method, rather than actually loading the level itself.
using UnityEngine;
using System.Collections;
public class PlayButton : MonoBehaviour {
void OnMouseDown() {
Play();
}
void Play() {
Application.LoadLevel("Scene1");
}
}
Step Three: End
All you need to do now is to attach the script onto a Game Object that you would like to be the play button, in this case it will be Red Cube. Then Click the Play Button to activate the game and see if it works out.

REMEMBER:
Make sure that you added the scene to the Build Settings, or else it will not work out properly. Search on Google to find out how to do that if you are not familiar with it.
References/More Info
Unity Script Reference: OnMouseDown()