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I've tried the F1 approach which takes me to character selection but past that I can't seem to do anything else. No controls work, F10 doesn't pull up anything. Super frustrating, first time I've had issues with a GOG purchase.
This post:
says it's f1 for player 1.
F10 opens setup screen in MK1 and 2, but you may be pressing it too early. Make sure you at least see the Acclaim logo.
In MK3, once you see GT Interactive logo, press Escape to get into he setup menu.