It should just started up once you click on it. If you mean how to start a match. It should give you prompt to start looking for a match. I also haven't been playing this for awhile so there could just be a issue with the game.
Pretty good for free for all Slight game advice: something you should do is click the trigger buttons (R2/L2). While on the ground it allows you to run, if you stand still it'll allow you to do a very quick dodge. In the air hitting a trigger and holding a button will move you a little in that direction, allowing you to touch stages easier with less of a risk. Last but not least, try not to use all your jumps at once.
