After clicking Shift+Alt+Left mouse nothing happens. What's wrong?
Make sure you're in Edit Mode when pressing SHIFT + ALT + Left Mouse Click. Also that you're pressing the hotkey when hovering over a potential edge loop.
If your doing those things and it's still not working, please record a quick video of the issue and either A) convert your MP4 to a GIF for posting here or B) upload to youtube and share the link here.
In addition to what @theluthier suggested ensure that you don't have Emulate 3 Button Mouse enabled (Edit> Preferences> Input> Mouse> Emulate 3 Button Mouse).
Mentioning it because it happened to me during another step in the course and then it happened again just the other day because I'd forgotten to set it back after using my Cintiq.