Lesson allows you to unlock and upgrade various special buffs to help you in Studio mode.
To access the menu, simply tap on the Lesson button in the home menu.

Lesson button
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Unlocking a Skill requires 60 Skill Points and 90 Live Points as seen above.
Every upgrade will cost more and more Live Points and Skill Points.
You can earn Skill Points and Live Points by playing Catch Live Mode in the Music Arcade.
Upgrading a Skill also gives you Lesson EXP which helps leveling up your Lesson Level. You cannot upgrade any Skill past your Lesson Level.
For example, if your Lesson Level is at 3, you cannot upgrade any skill to Level 4. You must first level up your Lesson Level by upgrading/unlocking any other Skill from the group.
Each group has its own Lesson Level and a max Level of 100 for all Skills.
To upgrade/unlock the Record Skill, you must collect Mics along with Live Points.
Record Skill gives you additional HP when playing Studio songs from the group you have upgraded it for.

To upgrade/unlock the Choreography Skill, you must collect Speakers along with Live Points.
Choreography Skill saves you from losing your Hits Combo to Fairs and Misses. Although it does not protect you from losing HP.
Lvl.1 of this skill allows 1 Fair/Miss to be converted to Good. Upgrading this skill further improves the number. This skill can only be used in Studio songs from the group you have upgraded it for.