Help: correct line connections + preferences to record vinyls?

I want to record some LPs into MP3, but nothing happens. I’m using a PC running on Windows 10, and I am definitely no geek
For connection: I start with a Technics SL1210-MK2 turntable together playing with a Pioneer amplifier A-656; I linked it through the headphone output to a Behringer U-Phono UFO202 audio interface that I purchased, now USB linked with my computer, and downloaded Audacity 2.3.3.
However I can’t get any sound input while trying to record a new Audacity project…!!
Anybody for advising me about the correct line connections and preferences settings on Audactiy?
Many thanks for you help (French speakers appreciated too)

Please see:

Particularly this one on USB:

And this suggested workflow should be useful: