Mic Not Working

Ok for several days now, I have been trying to get Audacity to work on my Mac Book Air. I am able to download the program, open the program, see my Yeti Mic, but once I hit the record button, nothing gets recorded. I have tried to change all my security settings to make this work but I keep getting this message: “Your security preferences allow installation of only apps from the App Store.”
How can I fix this?

Which version of macOS?

Apple (upper left) > About This Mac.