You're supposed to get a blank white screen during calibration. When you see the white screen, hold the gun a few inches from the screen, pointing it at the center of the monitor. Now, sweep it to the left intil you're past the edge of the screen a couple of inches; do the same all the way to the right, and return to center. Now, sweep the gun all the way up past the top of the screen a couple of inches, then sweep it to the bottom past the edge of the screen. Turn off the calibration switch, and you're ready to go!
You'll need to do this every time you change resolutions (effectively, every time you start a lightgun game). The gun learns the actual physical limits of the screen, so you'll need to make sure that the game display is adjusted to fill the whole screen or you'll have accuracy problems near the edges.
--Chris