You don't have to change anything with the HRT Music Streamer; in fact, I don't think you can anyway.
I may confuse/misspeak on some of the terminology here, but I have the understanding to answer your question. Those lights just tell you which sampling rate your USB DAC has latched onto. You have no doubt seen things such as 16/44.1, 16/48, 24/96, etc. so far. The first number, I believe, is the bit depth, and the second number is the sampling rate (in kHz).
If all of your music files are CD quality (16/44.1), then I wouldn't worry about this too much. But if you have any 24/96, etc. files at all, you will need to make sure that your laptop is properly configured to be able to play up to 24/96. HRT has the information about this on their website, you've probably already seen it, but assuming you are running Windows 7 you will need to right click the volume icon in your system tray, go to Playback Devices, select your DAC/make it default, configure and set the Default Format to 24/96 under the Advanced Tab of Properties. There may be one or two other steps that HRT mentions in their support documentation; just follow their guide. This is just the gist.
Also, you may need to tweak your music player's settings to allow 24/96 playback. In Foobar2000, you have to go into Preferences menu and adjust two small settings (IIRC, I believe one is under Playback and one is under Advanced). Ask bowei006 for help if you can't find it. I recently switched to MusicBee as my music player, though, because the HRT Music Streamer was conflicting with Foobar's WASAPI plugin and producing this "clicking" sound during playback. Some users have reported reducing their buffer to 50ms on Foobar to fix this problem; I just switched to MusicBee and everything seems to be working ok.
Hope that helps and that you enjoy your new gear.
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Thanks. But I've read the manual and it doesn't help much.
After a bit more research, I think I get it.
I understand what 24/96 is, but do I need to change anything on the HRT Music Streamer, or just change my laptops capabilities to play 24/96? Seems like I just change the laptop settings, and then plug-and-play the HRT. Is this correct?
This article seems to explain it:
http://www.macworld.com/article/1160651/how_to_find_and_play_high_resolution_audio_on_the_mac.html