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Game Over Screens appear after the Kongs have lost all their lives. Game Over Screens can only be closed by the Kong who used the last life (i.e. if player 2 uses up their lives, only they can close the Game Over Screen).
In every Donkey Kong platforming game besides Donkey Kong 64, Game Over Screens will occur if the Kongs have lost all their lives. In Donkey Kong 64, however, Game Over Screens occurs if the player decides to quit or fails to stop King K. Rool's Blast-O-Matic machine after the countdown timer runs out.