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For the game you have to calibrate the gun before playing, you do this when the game starts. This makes sure that when you aim and pull the trigger your shot hits the point you aimed at.
BUT unless you are playing the game with the TV absolutely level with where you hold your gun (unlikely) then the red dot will not be pointing where your shots go. Calibrating the gun offsets any angle/height difference between you and the screen, but the laser just points forward.
To make it work you have to line up the laser on the centre of the target on the calibration screen, but this will then change how you have to aim in the game.
Does that make any sense?
Say you play the game sitting on a chair to the left of the screen. You have to hold the gun at an angle to shoot the screen. Until you calibrate it then any shot you fire is likely to go to the far right of the screen. When you calibrate it it makes up for the difference between where you are, and where the screen is. The laser is just a dumb light, so will shine forward, it does not get adjusted.
Real lasers on real guns are only accurate when the real gun is properly calibrated.
E.g on a sniper rifle the red dot projector is often below or above the barrel, so the gun sights have to be calibrated to that the make an allowance for that.