Hello. There are two possible messages saying you have to login:
1) A message from Joomla when you try to access a menu item that is set to Registered or Special. That is not associated with DT Register actually.
2) The private event message from DT Register which shows when the user tries to access registration or something that is set within DT Register as private. That is configured in DT Register -> Configuration -> Messages
The "Thank You Message" that shows onscreen after a successful registration is also configured in the backend area noted above.
Now, any text shown by DT Register that is NOT one of the configured messages can be modified in the language file here:
/language/en-GB/en-GB.com_dtregister.ini
Sounds like you should watch our video tutorials
It will give you a nice overhaul on everything so you know the hows and wheres of everything. Thanks.