I could be wrong, but I think that’s the game in which I couldn’t figure out how to leave the first level.
Oh hey, I was right:
And apparently I was wrong about that and just missed how to go through doors:
First, Rock8man: Cave Story is not an art game or a non-game or anything like that. It’s an indie platforming shooter of surprising depth. Sounds to me like maybe you just didn’t figure out the button to go through the doors? (Which is up or down, can’t remember which.)
I should try it again.