I assume you download Audacity 2.0.1, so read the Audacity Manual for 2.0.1. If you installed the .exe of Audacity, click Help > Manual (in web browser). If preferred, read the relevant page online:
Audacity Manual .
The USB Codec for the cassette player has to be visible as input device in Audacity’s Device Toolbar, or you cannot record directly from it. If USB Codec is not visible, choose Transport > Rescan Audio Devices in Audacity.
Choose Transport > Software Playthrough (On / Off) - so that the checkmark appears - in order to hear the player in the computer speakers while you are recording.
To hear the player in the computer speakers before recording, click in the Audacity Recording Meter to start monitoring, as well as turning software playthrough on.
We don’t make cassette players or devices of any kind. If there is no sound from the speakers of the cassette player, look at the return instructions in the player’s manual.
Gale