The warning is about not running Audacity from the DMG: Installation: Do NOT run Audacity from the DMG!!!! .
If you recorded from a USB audio device, disconnect it.
Are you on MacBook Pro? If you removed headphones after recording, make sure you put the headphones in and out a few times so that the Mac knows you have removed them.
Open System Preferences > Sound to choose the correct output device. Turn the volume up.
Gale