You can start Sudoku in the following ways:
Choose Games ▸ Sudoku.
To start Sudoku from a command line, type the following command, then press Return:
gnome-sudoku
When you start Sudoku for the first time, you will see the puzzle selector screen, where you can choose the difficulty of the puzzle you want to play. If you've played before and have any unfinished puzzles, you can select those puzzles from this screen as well.
In the puzzle selector screen, the difficulty of the puzzle is displayed. The color surrounding the puzzle image corresponds to the difficulty. A dark red puzzle is harder than a light red puzzle, for example.
Double click on the puzzle of your choice to start playing.
You can change puzzles at any time by pressing New. This will bring you to the puzzle selection screen, where you can select whatever puzzle you like.