With TeamXp you also need to choose your Registration Type. There are four different registration types:

Go to Configure and change the registration type. Allow them to play through the exercise without being pre-registered or whitelisted.

If you choose your players to be pre-registered (whitelisted) you need to upload teams before playing the exercise. In case they login with a non-registered email. they'll see a message like this.

Players identification
There are many options for validating players but as this is your
first scenario we won’t go into them here.
For now, just know that there are different registration options
and you can use, plus the Passcode question types with custom data.