To scan transparent material (such as a negative, or your lantern slide) you need to reveal the light source in the lid of the scanner, by removing the cover that provides the white background for reflective scanning. I think that is what the error message is telling you. Check the instructions in the manual.

You can simply rest the lantern slide on the glass of the scanner, somewhere near the middle. With luck, you will get the image in focus, since the thickness of the glass slide is about the same distance as the offset of the Epson film holders.

Why the scanner displays the error message: Whenever you initiate a transmissive scan, the scanner does a calibration measurement of the light source in the lid (the film holders have a rectangular cutout at the top for this purpose). If the scanner can't see the light (because the cover is in place, or the film holder is in the wrong place) it displays the error message and refuses to continue.

When I digitise lantern slides, I sometimes want to capture both the slide image and the detail of the glass mount. I make two scans without moving the original -- a reflective scan of the mount, and a transmissive scan of the image -- and combine the two in Photoshop. Like this example, for which I used an Epson Perfection 2450 Photo scanner: http://www.marquis-kyle.com.au/mt/000812.htm