It is important to know the difference between Saving and Exporting while working in Audacity.
If you are working on a project but wish to close Audacity in order to continue working on the project at a later date it is important that you save your work. Audacity saves your project into a folder which will include all the separate audio tracks that you have either recorded or imported into your project. Audacity project files (.aup) let you save everything you're working on exactly as it appears on the Audacity screen. Most other audio programs cannot open Audacity project files. If you want to save your project into a file that can be opened by other programs you will need to select the export option.