avillena is right.
You cannot record audio with USB cable.
The Fantom sends midi msgs through the USB. You'll need to plug the FX with PL cables (I think it is referred as 1/4" ??) to your sound device
http://www.telesats.com/marcheelectroniqueonline/images/246626.jpg or with digital I/O cables (look for it at the backside of your Fantom couldn't find a proper picture).
I don't like recording with midi msgs from the Fantom:
1. The Fantom has 3 MFX so not enough in order to record.
2. I managed to mess up entire projects because of wrong use of midi msgs from the Fantom
I use Midi cause I can't trigger VSTi without it.
It is a very powerful tool but can also be a little bit messy if you don't work correctly with it.
So after a long, unnecessary details about me... Go buy two 1/4" cables and start recording =) have fun