You might want to try the
latest version of cgminer, regardless of any other steps.
You didn't mention what, if any, errors pop up. Try running cgminer as is from a console window - it should prompt for pool details, etc. and automatically detect the Red Fury.
If it does not detect it, you may have to install the
zadig drivers.
There's certainly plenty of tutorials -
including videos - going through the steps of getting up and running with a Red Fury, so the more details you can provide with regard to any errors, the easier it will be to help you.
cgminer support threadRed/Blue Fury support thread
As an aside: the Red Fury is quite an old device. You say it wasn't cheap - how much did you pay for it?