Connecting the white USB Converter between the Video Player and the Computer.

If the video player does not have A/V output sockets, then you may need to use a Scart to A/V converter.
These are available separately, (not sold by Avanquest). If the converter is switchable, then Output will need to be selected.
Please note that some converters are either Output or Input only rather than switchable, so ensure that an Output one is purchased.

The light on the USB converter should glow blue, but this may be different if other brands of converter are in the package.
The light just means that the USB connection is recognised.
It does not mean that the program is working correctly or that the video player is correctly connected to the converter.