In case you're wondering, I did check the instruction manual and did exactly what it said; I went to a Chao Garden (more specifically the one in Station Square), went to the Transporter Machine, jumped on the red button, set my Chao down in front of me, then sent it to my VMU.
Now, here's where the problem starts. The manual says that after you transported your Chao to the VMU (which I did), you're supposed to take the VMU out of the controller, then the game will start. I did what it told me to do, but when I took it out, the text "SEGA Visual Memory Unit" showed on the small monochrome screen for a second (maybe less), then disappeared after.
This problem happened AFTER I changed the batteries in the VMU. And now, I'm starting to wonder; should I have waited a bit for the game to start up?
Well, if you have any suggestions, that would be great. If you have a solution, that would be even better!

Thanks for reading,
hudsthinking1999