Okay...you cannot start a new game...per se...not unless you reroll new characters, but you can RESET your ADVENTURES.
Before you load a game...click on the little button that looks like a computer. This will take you to the OPTION MENU. Find another button that says: RESET ADVENTURES, click on it and it will ask you to make sure that is what you want to do. It will remove all the magicakal stuff that is needed for the game and just leave you wil whatever gold you have, your armour and reset all your characters to the last level they achieved.
I believe if you want a new game you have to find the save file, it is in your Activision>>>Wizard&Warriors forlder>>>save folder...just delete the games, not the SAVEGAME file(that is important, do not delete)...the game file looks similar to this one...(game00.sav).
Then once you restart Wizards and Warriors...all that should be left is your characters in the Inn...not out on adventures. Yopu might want to save all the contents in you Save Folder before deleting, of course. I think the best idea...is just to hit the RESET ADVENTURES button. It takes you back to the Inn and restarts you from the beginning...