You just have to click Tools > Sketch Tools > Split entities
For me it's crazy that this feature (as many others) is not visible in the main menu and even more crazy that the split function is not placed beside the trim one. That breaks my logic and as a new user I thought it simply did not exist into SolidWorks.
As I've learnt a bit I really believe that is very important to constantly customize your own toolbars as you keep on learning or designing one or another kind of pieces.
DON'T TRUST STANDARD TOOLBARS!!