You would need a couple different behaviors for this, but what they are would depend exactly on how you want your victory win image and level selection to work.
For example, for the "win image," do you want that to be a new scene or a pop-up graphic that's in the current scene?
Also, do you want the option to go to the main menu or the next level to appear on the win image itself, appear as a different pop-up menu after the win image fades, or do you want the win image to be a whole new scene that gives the player the option?
Based on how you want to do this, the blocks you use will be different. You would use the "create actor" blocks to make pop-up menus appear (and then attach a behavior to the actor you're using for the pop-up menu), but if you're using different scenes, you would use the "switch scene" blocks and in the new scene have a behavior attached to it that shows the menu.
In a lot of ways, Stencyl's Design Mode is like regular programming - there are a lot of different ways to accomplish the same kind of thing. There isn't really a "right" way to do something, necessarily.
FYI I can show you how to do these things either way, but you would need to choose the exact things you want to happen and in what order.