Double-click that file to run it and install FFmpeg. The full file name should be ffmpeg-win-2.2.2.exe, but the EXE extension may be hidden on your computer.
Thanks for your help but it does not work. This is not a .exe for ffmpeg-win-2.2.2 but a Zip that I unpacked and put in the Audacity folder.
Can you confirm that Audacity 2.1.2 opens the AAC files as well as the mkv to display the soundtrack directly because when I try this I get the following message “Fichier.aac is an Advanced Audio Coding File. Audacity cannot open this type of file. You need to convert it to a supported audio format, such as Wav or AIFF”