Did the player come with an install CD? Did you buy it new? I can't believe anything as simple as a cassette player is not recognized, but there it is. You might be able to go on-line and get device drivers for your computer so Windows knows that it is. Until Windows knows what's going on, Audacity is helpless.
Do you keep your Windows up to date? If you never update Windows, the software may be so old that the computer doesn't recognize modern equipment.