Its basically wanting you to setup your "file" of LR2, you could have multiple files on the same game, and will keep track of scores, replays, play counts...etc for each "file"
But to get past that part just enter in a name and password that you want, and then push ok, then when you get back to the main LR2 setup window (the one with the tabs "Main" Jukebox 1" "Jukebox 2" etc) look at the bottom left corner where there is 2 buttons, click the left one that says "LR2" with some symbols following it. It should boot up another window, and will tell you to push any key when its done loading. And just push a key, and you should be good to go. Hope that helps. | 
Lunatic rave 2... name/password? 
