From the Xbox LIVE menu (next to the custom setlists), choose to Create a game. It can be a friendly match or a ranked match, and it is not necessary for you to win. Just play the entire setlist through to completion.
I recommend creating a custom setlist as well, so that you can earn the "The New Style" Achievement at the same time. Create a custom setlist with only one track to cut down on the time required to unlock the Achievement.