Click on the link "Download Audacity 1.2.6", which will take you to a new page on the site:
Click on "Audacity 1.2.6 installer", download the .exe file, and run the .exe file to install the Audacity software on your Windows PC. [Sorry, folks, this tutorial is only for Windoz folks - if you have a Mac, hopefully it won't be too much different.]
Also download the LAME mp3 encoder, which will enable Audacity to export sound files in mp3 format.
Follow the link - then you will download a file named "libmp3lame-win-3.98.2.zip":
Unzip the archive and locate the file named "lame_enc.dll":
Move the "lame_enc.dll" to some folder on your computer (the location isn't important, as long as you know where the file is saved).
Following the great history of GNU naming, LAME originally stood for LAME Ain't an Mp3 Encoder.
Go on to the next page of this tutorial once you have installed Audacity and the lame_enc.dll.