If the game freezes and you don't see the dialog box then that means the game is running in exclusive fullscreen mode. You can confirm that this works by pressing escape to quit the game. You can either create the key and set the permissions in advance or try to trigger it by launching the game and pressing escape to quit the game. If you don't see the registry key or the property then that means Windows hasn't added the compatibility shim yet.
If you've run the game before you will see a property that points to your FF13-2 executable, and the value will be 1, delete it or change the value to 0.
Next you will need to change the access list of the relevant registry key: FF13-2 can be found here: \steamapps\Common\FINAL FANTASY XIII-2\alba_data\prog\win\bin If you are on a recent version of Windows, you will first need to disable fullscreen optimizations via the compatibility options on the FF13/13-2 executable(s).
