You CANNOT play a game in Lessons mode. Lessons are a completely different concept in chess training. If you were taking lessons from a Grandmaster, playing games against him would undoubtedly yield constant defeat - but unfortunately - very little instruction.
To create a more productive learning experience, the Grandmaster would give you chess positions, to look at, to study, and to solve. As you tried to solve these positions, the Grandmaster would give you hints and feedback to help your thinking - just as our Lessons do!
If you want a game against a virtual opponent, try challenging the computer instead.