I bought an Olin record/cassette player that enables you to record records and tapes on your computer. I have tried to follow the installation instructions on the installation disk which require me to open audacity-win-2.0.2.exe to start the installation wizard. The files on the disk only have audacity-win-2.0.2 - nothing with an exe on the end. I am using Windows 7 Home Premium.
For a start do yourself a favour and upload the latest Audacity which is 2.0.6 from here@ http://audacityteam.org/download/windows
And then rather than use the manual that your hardware supplied provided - use this set of tutorial from the Audacity Manual: http://manual.audacityteam.org/o/man/tutorial_copying_tapes_lps_or_minidiscs_to_cd.html
From a web search it looks like the Olin device is a USB one - in which case this tutorial, from that set, will be particularly useful: http://manual.audacityteam.org/o/man/recording_with_usb_turntables.html
You will still have that confusion after installing Audacity 2.0.6. You can’t see the “.exe” after the end of the file name because Windows hides file extensions by default. An “extension” is the dot (period) followed by three or four letters that define the type of file it is.
Follow these steps to show file extensions: Windows help & learning.