I just did one a few days ago, so I know it works, I'll run through a sample file now and walk through the windows.....

Im not sure where youre getting stuck at....

With the return open on the screen, File > Split MFJ  it asks if you want t save this return, YES 

The MFJ file closes and  Then it gives me a warning to enable TSJ  OK,

then I get a window that shows me both new MFS file names and I click OK.

Those 2 new files wont appear in the EF Center, they'll only be viewable in the regular HB view.