Do you have the version of Windows used in the tutorial? In sounds were you able to pipe the output of the Fantasy Player directly to Virtual Audio Cable? Or do you have an older windows without that feature?
If that’s the case, or you could just try it, switch your playback device to the Virtual Audio Cable before launching Syrinscape Fantasy Player. Then launch Syrinscape Fantasy Player. Then you can change your playback to say your headphones. Usually once you launch Syrinscape Player it will keep it’s audio device even if you change it in Windows, depending.
Double check also your Virtual Audio Cable is not muted / volume turned all the way down, just to be sure also.