There are 4 steps to authenticating. Step 4 displays something called a "proof of ownership" which is some base64 encoded text. You're supposed to copy that and reply to the DM with it. I've clarified that in the instructions so hopefully no one else will be confused.

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"And should I follow that npub?"

No it never does anything except dm you sale notifications, so there's no need to follow it

Ok, it never made it that far through the process before I received the message. Thank you! I'll try another relay