First, make sure you have followed the procedure of holding down the DFU button while plugging in the device.
Once plugged in, you can release the button.
If nothing shows up in STM32 DfuSe tool, you probably need to install a driver.
Right click on the start button, then select Device Manager:
You should see a STM32 BOOTLOADER device with a yellow triangle.
Double click on it, select Update Driver..., then select Browse my computer for driver software
Click me to download the driver. Extract everything to a folder.
Press Browse..., and select the entire folder.
Windows should find and install the driver automatically.
After it's done, you can continue the guide as usual.