Tropical milkweed, Asclepias curassavica, is an annual in the north and will die back with a hard freeze. To have new plants next year, you need to collect the dried seed pods in a paper bag, let them dry totally and then break them apart. I usually use a large paper grocery type bag, close the bag, shake vigorously and then open the bag and let the wind blow out the white fluff.
Bring the seeds inside and start inside at least one month before your regular spring planting date. Tropical is a bit of a slow starter, so I actually start my plants around March 1st to plant on May 1st.
They like warm temperatures to germinate so I usually start them, in a mini-nursery which has the plastic dome. I them lay the shop lights right on top of the plastic top and it keeps the seeds nice and warm. After they germinate, remove the top, but keep the lights as close as possible.