For this task you will need to first download the following audio file - http://soundcloud.com/mickradio/pancake-keith/download

If you have any problems then ask for help in the comment section below. 

Choose the 'Open' option from the File menu :

You will then be presented with a window where you can browse to the location of the audio file on your computer :

You can see in the above example there are a couple of audio files. Locate and click on the audio file you downloaded.

If I now press OK the file will be imported into Audacity.

Audacity has its own way of storing audio files. These are known as 'Audacity project files'. So when audio is imported into Audacity it is stored in the Audacity format. You cannot then go and edit these files with another audio editor unless you first export the file to another format (for example, to MP3).

Once the import has finished you will see the audio file displayed in the Audacity window :