If the Shoto HDK sits there with a solid blue LED staring back at you not doing anything, it is likely it isn't being recognized as a peripheral device on the computer. Windows can be strange.

Open Device Manager, if the "LHR" device is not anywhere to be found and lighthouse_console immediately closes upon opening, there may be an issue with the OS recognizing the Shoto HDK as a USB device. I recommend a restart of the system for best results. If an immediate restart does not work, try unplugging the HDK, restarting the computer, and coming back in a couple minutes for the OS to finish whatever background process that may be holding up the driver from recognizing the HDK.

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