It say that when I login,I should go to new address on the page with different unused wallet addresses and chose a new address, which I will use to sign a message but couldn't sign a message.
There is no Login option in Electrum wallet.
This is non-custodial wallet and only thing you could enter is password you set up during wallet creation.
Just make sure to download latest version 4.3.2 of Electrum wallet from their official website, and let it sync for a while.
The problem I have is that, how can I go back to the first wallet address which I copied when before choosing the new address I wanted to use in signing a message.
I sent the address since I opened it to a business partner and he will be sending btc into the wallet soon.
You can see all your address if you click on Addresses tab, and all transactions can be seen in History tab.
If you created wallet from scratch with seed words you will have many addresses and change addresses shown.