While the newbie guide is outdated, the menu bar should still work and it should still appear and disappear when you press Escape.
I don't know why that wouldn't be working. The guide is a little confusing about how it works, though. The thing labled #7 in that picture is the "menu bar". Pressing Escape makes it appear and disappear. When it's visible, you can click on some of its buttons to open the main menu, which will come up in a separate dialog box in the middle of your screen.
If the menu bar doesn't appear, and Escape doesn't make it appear, you can still bring up the main menu itself by pressing F10. That will give you further buttons to change the game's options and settings and will give you buttons to quit the game.
If the main menu doesn't appear with F10, you can press shift-escape to bring up the "quit the game" dialog box.
If none of those things work, try pressing Enter to bring up the chat / command console, then type "/luaui reload" (with the slash but without the quotes) which will basically restart the entire game user interface.
And if that doesn't help, maybe someone in chat can provide some further assistance.
Sorry you're having some problems getting started. Please stick with it! Zero-K is not very user-friendly yet, but the game is very good and worth the time to get it working right.