WaltherP99man,
Don's is one the east side (there are several locations, but you want the big one). I can't give specific directions because my friend who lives in Indy drives us there. (I drive to Indy, and he or his wife drive us all around while I'm in town.) I imagine that they have a website, but I have never looked it up.
As for Whittaker's: If you're coming from Owensboro, you'll be taking KY 56 West for @15 miles until West Louisville. Ask at the big gas station there. Everyone in that area knows Whittaker's. It's on the West Louisville Road (a pretty nice 2-lane). This is what I have to do if I come from Owensboro, rather than Henderson on the Pennyrile Parkway. I have only come from that direction once (had Moonlite BBQ in Owensboro first). If you want, I can give very detailed instructions from Evansville/Henderson, but I don't think that would help much (since I end up taking KY 56 East and coming in from the SW, rather than NE). Whittaker's website is whittakerguns.com. They routinely give out directions by e-mail.