I'm going to take a stab at this: I think you are talking about HTML Audio Player Pro. which is $25.00 to purchase / and the basic for free does not seem to have the podcast option. Since I have to purchase it to really see what's going on ( and I'm not going to do that - LOL!) , I just did a cursory check to see what's what.

I think it's how the beginning part is worded that might be throwing you off:
the instructions read
Create a new stack for your audio player through the dashboard (found at [your site url]/index.php/dashboard/blocks/stacks/).

this is what's probably confusing. So I"m hoping I can help you:

log into your site and go to your dashboard.

the new version of C5 will have the "Stacks & Blocks" section toward the bottom of that display.
and will show three options: Stacks , Block & Stack Permissions, Block Types.
Select Stacks.

there ad a stack called "Audio" or what ever you want to call it.
Once created - click on your new stack and you will see a new display with "Add Block" and "Version History"
click "Add Block"

here - you will go down the list until you find your HTML 5 Player Pro. (that's already been installed I'm assuming - or else this won't work.)

Now after this follow the website doc: found here: http://www.concrete5.org/marketplace/addons/html5-audio-player-pro/...
(scroll down to Podcasting (beta))

3. Add the HTML5 Audio Player block and create a playlist player using either a file set or custom playlist.

then

4. Check 'Enable Podcast Feed'. A new tab will appear, which contains information for the podcast metadata.

5. Add the block and click 'Approve Changes' to save the stack.
Navigate to the page where you would like to add the player and add the stack to the page. Be sure to choose add full stack.
The player should now display an rss icon that links to your podcast feed url.

Hopefully this helps!
Cheers,
Karen

Also on instruction #3 here is something on a File Set:

http://www.concrete5.org/documentation/using-concrete5/dashboard/fi...

it looks like you need to set this up first so you have your item to select when creating custom Stack with HTML5 Audio Player Pro.

hopefully this works out.