You are not only new to the forum, but obviously also new to the Mac. When downloading Audacity, you get a file with an extension .dmg, DiskiMaGe, which is an image of a disk. It is not (yet) the program itself. You open the dmg and see a disk icon, as you showed to us. Then, double-click that disk icon, and it will open and present you its contents - namely an icon of Audacity and an alias for the applications folder on your Mac.
The instructions are simple - you see the yellow arrow? Just drag the Audacity icon over the alias of the Applications folder. This will move Audacity into Applications on your Mac. Do NOT run Audacity from the disk image. After moving Audacity to the Applications folder, eject the disk image (drag the disk image you showed over the trash icon).
You are 100% correct I am new to Mac as well as Audacity on the Mac. Thank you SO much for explaining that to me, I had NO idea you “moved” the icon in the pop up box over to the Applications folder on the pop up. I can confirm Audacity is now installed