You're doing it all wrong! Linux is not Windows where you need to download everything directly and manually install it.
Almost everything you'll need is available form a software repository. A big advantage is whenever you check for updates (or the system does it for you) any program you've installed this way is included. It does rely on Ubuntu building the updates and adding them to the repository.
From the command line:
sudo apt-get install audacity
For the GUI:
Ubuntu Software Centre