First time using - HELP!

[NKB1234]

I just downloaded PPSSPP for Retroid Pocket 2 (I just got both).

I load the emulator and then click on a game let's say Assassin's Creed...

What happens is it "loads" the game, but a message comes up "Do you wish to use the Memory Stick to install game data?..." I can't click yes or no and if I press any button on the screen it doesn't do anything all I can do is go back to the main game screen where it shows my saved states and config options.

How do I fix this problem?

Thanks