This is for people that haven't already figured out the solution.
The Home Screen options is where you can go to change the Home Screen Layout, Change your wallpaper and Reset the Icon Arrangement in addition to being able to set a Downloads folder.
This is a problem in pretty much every OS. I'm sure quite a few people might have noticed that once you exit you can't get it to open again. The reason for this is simple.
If you hit the Menu button then hit close while inside the Home Screen options, it will never open back up for you, unless you do a quickpull/softreset or battery pull.
If you exit by just pressing the escape key, you'll always be able to gain access to the Home Screen options as many times as you want. Sounds simple enough, but this thing has been driving me nuts for the longest time now.
