I tried to transfer and got a "can't transfer while another setup is on" message.

The most likely causes are:
To recover,
  1. Click the HUD logo.
             a. If you get a "Cancel or Carry on" message, press "Cancel. Then Click the HUD logo again, and start setup. You can transfer after the setup.
             b. If you do not get the "Cancel or Carry on" message, detach your HUD into HUD and wear again. If you get a setup message after that, just go ahead and setup again. Otherwise, click the HUD and try transferring again.