Applications on your PC can't emit sound without an audio device.
A virtual audio device can replace a real one. Applications on your PC will emit their sound to this device which will then be received by AudioRelay.
Click on the download button
Extract all the files from the downloaded ZIP
Depending on your version of Windows, run this executable (as administrator)
VBCABLE_Setup_x64.exe for a 64-bit version
VBCABLE_Setup.exe for a 32-bit version
The CABLE device should now appear in your settings as below (A reboot could be necessary)
Return to AudioRelay, and make sure that it is selected in the Audio device section.