Due to a change in FS2004's window management, it's not possible to access the menubar once the FMC has been loaded.
There's no way to avoid this problem but at least there's a workaround for it:
Open the FMC (docked!) and click next to it (just as you would do if you wanted to deactive the FMC window). Now you can display the menubar by hitting the ALT key and navigate/select from it by using the mouse.