For a start you will probably be better off upgrading to the latest Audacity 1.3.12 - don't be put off by the Beta labelling 1.3 is now a pretty mature and is now probably actually more stable than the officially "stable" 1.3.12. And it has lots of new functionality that will help you with LP transcriptions, particulary much improved labelling. You can get the latest 1.3 from here: http://audacityteam.org/download/
Reading this set of tutorials from the 1.3 manual will help you: http://manual.audacityteam.org/index.ph ... iscs_to_CD
And in particular this one: http://manual.audacityteam.org/index.ph ... turntables
With regards to lack of playback:
USB devices have a habit of hijacking the entire sound – output as well as input – and they don’t tend to have loudspeakers (hence “no sound”).
What you need to do is to direct the Windows sound output to your PC's soundcard Control Panel>Sounds and Audio Devices>Audio>Sound Playback - and make this setting to the PC soundcard.
You may also need to ensure that Audacity sends it output to the PC soundcard Edit>Preferences>Audio>Playback - and set this also to your PC soundcard. You may need to stop and restart Audacity for this setting to take effect.