C#

private void btn2Player_Click(object sender, EventArgs e)
        {
            frm2Players frm2P = new frm2Players();//new form
            frm2P.Show();//display new form
            this.Close();//Close the menu (current) form
        }

private void btn2Player_Click(object sender, EventArgs e)
{
    // frmMenu frmMenu = new frmMenu();// menu form // <=============== Delete this line *****************************
    frm2Players frm2P = new frm2Players();//new form
    frm2P.Show();//display new form
    // frmMenu.Close();//Close the menu form // <=============== Change this line *****************************
    this.Close();//Close the menu form
}

Lim Yuxuan wrote:

frmMenu frmMenu = new frmMenu();// menu form

Lim Yuxuan wrote:

frmMenu.Close();//Close the menu form

if(frmMenu.ShowDialog == DialogResult.OK)
{
  switch(frmMenu.OptionProperty)
  {
    case 1://1 player
      frm1Player frm1P = new frm1Player();
      frm1P.Show();
    break;
    case 2://2 player
      frm2Players frm2P = new frm2Players();
      frm2P.Show();
    break;
  }

}

where are you calling your initial frmMenu form from? 
I think your problem is you are creating frm2Players from within frmMenu which means when that closes it will close all children.

Application.OpenForms[0].Show();

frmMenu.Show();

Application.OpenForms collection would help out then.