Opening an au.file

I have recorded a file, saved it to Audacity and now wish to re-open it for editing. However, I am told that “the file is already open in another window”. What does this mean, please, and how do I locate this “other window”?

It means what it says - you are trying to open a project you already have open. Hold ALT on your keyboard then press TAB to switch to the project you were trying to open.