The help file is out of date. The TFTP Server is installed as a service. You should be able to find it in Administrative Tools -> Services. Look for SolarWinds TFTP Server. It can be started and stopped like any other service.
When you start TFTP Server from the start menu it launches the UI. The UI will also let you start or stop the service as well as change the settings. When you are finished with the UI close it by clicking on the red X in the upper left corner and the service will continue to run.
Sorry about the out of date documentation on that.