"loan" would be the licensing information the eDGe needs from the ebook provider to indicate you're allowed to read the ebook you borrowed. Make sure you have internet connectivity (can you browse the web, send/receive email?). Try again tomorrow, and if it still doesn't work, you can try to contact NYPL's help desk, and/or enTourage Tech Support.

I'm looking forward to getting my own library card later this month, at which point I'll be able to try this public library ebook stuff first hand