To enable the Guided Tour player, you will need to add the pre-configured link that was part of the Guided Tour package that you installed.
Once you have click save, click back on the 'Home' tab and you should now be able to see the Player icon on the right side.
Unfortunately, Salesforce.com has removed the sidebar if you are using the new Case Feed UI. If this is the case you will have to do a few quick step for the Guided Tour Player to work on the Case tab.
Once you have click save, click on the Case's Tab and open a case. The player should display as expected on the right side.
It is important to note that Salesforce.com gives you the option to have your custom components displayed on all of your Salesforce.com pages. You will need to enable this setting if you would like the Guided Tour - Player to be accessible on all your pages. Follow the steps to enable this setting.