There is not a canonical answer to this. Helen's portrayal in the Greek and Roman sources presents a wide variety of different interpretations. Perhaps most canonical is Apollodorus' Bibliotecha. Unfortunately, we do not have this part of his work, though an epitome has survived. Here's what it says about Helen:
Menelaus, with five ships in all under his command, put in at Sunium, a headland of Attica; and being again driven thence by winds to Crete he drifted far away, and wandering up and down Libya, and Phoenicia, and Cyprus, and Egypt, he collected much treasure. And according to some, he discovered Helen at the court of Proteus, king of Egypt; for till then Menelaus had only a phantom of her made of clouds.
Epitome 6.29, trans. by Frazer
A little background is necessary to understand where he got this idea:
But some say Hermes, in obedience to the will of Zeus, stole Helen and carried her to Egypt, and gave her to Proteus, king of the Egyptians, to guard, and that Alexander repaired to Troy with a phantom of Helen fashioned out of clouds.
Helen, instead of actually being at Troy, is merely a copy. It's theorized that Zeus did this because she is his daughter by Leda, and later ideas that she is taken straightaway to Olympus instead of back to Sparta support this; moreover, her divine brother was made into a constellation, and Helen was worshiped as a goddess in Sparta in historical times.
So, Menelaus would not in fact mention Helen in his troubles getting to Egypt, because he did not have her yet. But the Odyssey really doesn't support this, which is why both passages are prefaced with "according to some/some say."
Authors who do support this, though, include Stesichorus (seventh to sixth century), Herodotus, and Euripides (fifth century). In fact, Stesichorus might have made it up, perhaps based off the passage in the Odyssey you found confusing.
Euripides does conflicting things with this information. In his Trojan Women, there is a strong implication that Helen is actually at Troy, and that Menelaus takes her away from there.
(She and Hecuba argue about who is at fault, and while Menelaus sides with Hecuba, he disregards her advice to kill Helen on the spot, lest, Hecuba argues, Helen gets out of punishment by her feminine charms.)
However, Euripides wrote another work, his Helen, in which Hera, not Zeus, fashioned a phantom for Hermes to take to Egypt because she was angry with Paris for choosing Aphrodite as the most beautiful of the goddess. Herodotus even says that when he was in Memphis, Egypt, Egyptian priests confirmed that Helen was there, though there was no phantom.
So, if Helen is in Egypt, as later authors indicated, she was found by Menelaus there. Otherwise we must assume that the author of the Odyssey just glossed over her presence.