Alright, here are the steps you need to unmute the MPU-401 output on your Vortex 2:
1) Open the volume panel by double-clicking the speaker icon in the system tray.
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2) From the Volume Control panel, go to Options and choose Properties.
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3) Scroll down the list of outputs until you see the option for MPU-401. If it's unchecked, check the box so that it appears in the Volume Control mixer. Then click OK.
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4) Unmute the MPU-401 input. It should be muted by default, at least it was on my Vortex 2 card.
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5) Select the MPU-401 as the MIDI device in Control Panel -> Multimedia -> MIDI as you did before.
6) To use the MPU-401 in DOS, open the Aureal Control Panel from the Control Panel, go to the MIDI tab, and then change the MIDI device for DOS boxes to "MPU-401" instead of "Aureal Wavetable." (no pic for this one, my kid got up last night as I was taking screenshots)