
First, I'm not a VDJ user... but have you set the output to external mixer?
Maybe these links will help you:
http://www.virtualdj.com/wiki/PDFManuals.html
http://fr.virtualdj.com/forums/132954/General_Discussion/How_does_the_Pioneer_CDJ_350_works__.html
This is for the CDJ-400 but it may help: http://www.youtube.com/watch?v=8Sn3Yuj-Dd8
Cheers!