I tried to download Electrum for windows but what I get is an .exe file.
It does not have provisions about Ledger, just setting up a wallet in Electrum etc.
I wonder what I am missing.
You do have to install Electrum in Windows first. You're supposed to create a wallet with it. After choosing the wallet type you wish to create, you are given the option to use a hardware device. You shouldn't run into any problems if you follow the step-by-step tutorial.
Thanks for pointing out, i have been dense. Now it is DK.