If I start the program I always get "HOI3-Their fines Hour". How to start a different configuration say HOI3-plain vanilla or HOI3-Semper FI?
AFAIK you can't, but don't really need to (unless this is a purist want). TFH was the last major release for HOI3 and basically is a superseding "patch" for the base game. In other words, once it's installed, you're playing that "patch" to the base game with whatever extras it provides (probably some sources out there describe exactly what it adds, like Paradox's site or the HOI3 wiki : http://www.paradoxian.org/hoi3wiki/Their_Finest_Hour
It works the same way with Crusader Kings; once you install Deus Vult, *that* becomes the game and same with Crusader Kings II. It's how Paradox does these more major upgrades to their games. I'm assuming it's the same here. Think of them like large mods. They call them expansions.