Please, take a moment to read the pink panel at the top of the page and give us your exact version of Audacity (all three numbers) and OS X (all three numbers).
Have you tried giving the Administrator password? You can’t modify the /Applications folder otherwise, if that is where you placed Audacity.
Have you made sure you are not running Audacity from the DMG Installation: Do NOT run Audacity from the DMG!!!! ?
Gale