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In order to use the "LGRx package" I've been told in a previous question that I've made, that I should have an up-to-date TeX distribution.

So, I wonder what is this and how can I install it to my PC? Note that my OS is the windows 7.

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Have you installed a recent version of either MikTeX or TeX Live? They are TeX distributions. – Torbjørn T. Apr 13 '13 at 21:04
I have installed MikTeX 2.9 version. – giannis Apr 13 '13 at 21:13
Then you have the latest stable version of MikTeX. To make sure it's up to date, i.e. that you have the latest version of all packages, you have to run the update manager. See How do I update my TeX distribution? for details. Also, if you installed the Basic version of MikTeX then lgrx may not be installed, but you can install that package with MikTeX's Package Manager. – Torbjørn T. Apr 13 '13 at 21:28

As of today, MikTeX version 2.9 is the latest stable distribution, so you should be fine for now.

However, for future refence (and based on Torbjorn), you should check:

How do I update my TeX distribution?

Also, I recommend you give a little read to this question, since you are also trying to use a package:

How often do I have to synchronize MikTeX?

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