Help required

Dear Jean-Christophe,

> We downloaded the latest package from your internet web site and installed
> it (running "first-setup.bat"). Installation went fine. 

You have installed the ConTeXt.
See http://wiki.contextgarden.net/Main_Page

The following is the simplest meaningless example of ConTeXt mkii,
where pdftex is used:

%
% test.tex
%
\starttext
Test
\stoptext

which is compiled by
mtxrun --script texexec test.tex

Nowadays usually ConTeXt means ConTeXt mkiv, where luatex is used.
In ConTeXt mkiv, the above example is compiled by
context test.tex

In order to use pdflatex, or pdftex, you may obtain
TeX Live, or MikTeX, assuming that you are playing on windows.

Best,
Akira