I got the steam version of the game. It just pauses the game each time I open it, when I run it from the screen or when the game is closed it doesn't do anything at all.
I'm still really surprised there's no tutorial for setting this up. It's really confusing what I'm supposed to do in this situation.
I feel bad for spamming so many threads.
http://prntscr.com/idw676 it gives this message each time it does it.