In order to load a company using the Select Company option, disable the default loading of a company in Tally.ini file. Set Default Companies to No OR place a semi-colon before Load = 0001 (company number - placing a semicolon means that the words following it in that line would not be executed. Each line is a separate command).
On double-clicking the Tally icon, the screen appears as:
You can use the Select Company option in two ways, from the Company Info. Menu OR by using the button F1: Select Cmp (available on the Gateway of Tally screen).