Hi James, I'm an electrician and can help you with this problem.
From what you describe, the wiring in the switch box is for a standard, single pole switch or dimmer, and is not compatible with this replacement switch. Here's why: you stated that there are (2) wires in the box, a black and white insulated wire, that once fed a dimmer switch. Common wiring practices would suggest to most electricians that the white wire is the 120 volt "hot" supply and the black is the switched leg - or output of the switch to the fixture.
The replacement inductive dimmer switch is not a standard switch. It is designed to control inductive loads - or motors such as a fan. It does not simply control the flow of current - but actually uses a small amount of electricity to do this. This means it needs a complete 120 volt circuit consisting of a neutral and hot wire; and wire for the output of the switch to the motor. A total of insulated 3 wires. You have only two.
If you have a neutral in the box, you can use the switch if wire like this:
120 volt "hot" to the switch Black
120 volt "neutral" to the switch White
120 volt load wire (to motor) to the switch Red
The switch Yellow should be taped or capped off and is used only in a three way application.
The "arm switch" cuts power and the wheel is used to set low speed setting. You can see the info sheet here
As mentioned above, this switch is used to control a motor - not a light. The same way a dimmer is used to control a light - not a motor. If you do not have access to a neutral in the box, you should either install one or, use a different switch. There are motor speed control switches that do not require a neutral wire and cost under $25.
If you need to control both light and fan there are products that are installed in the canopy of a paddle fan that will do this for under $50 and are operated via a wireless remote that can be secured to the wall such as those below:
These can be found at Home Depot, Lowes, and electrical supply stores.
I hope this was helpful & good luck!