Help needed: Installation Confirmation (?)

[auror]

Hiya!
I'm trying to play a Japanese game 'Walpurga no Uta - Walpurgisgedichte'
It loads fine (I guess?) but I can't proceed beyond the second screen which reads
'インストールデータの確認を行います。
この画面のまま電源を切らすに、
メモリースティックTMを取り出してください。'
or, according to Google translate,
'Confirm the installation data.
To turn off the power while this screen is displayed,
Remove the Memory Stick.'

It does not respond to any buttons and I am honestly at a loss of what to do next... Any word of advice, please?