I don't use an Olympus so I can only generalise, but you'll probably need to install the Olympus software on your PC. A RAW image is nonsense to your computer unless it is supplied with the Olympus RAW codec (a bit like someone talking to me in French, waste of time! Teach me the language and all becomes clear, lol).
As for Lightroom, have you got the latest version installed (2.6 I believe)? If its a very new camera it may not be supported yet. Maybe even try out the beta version of Lightroom 3 if its still available
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