I’ve edited a sound file three times and “saved” it but the edited file is not there. How do I REALLY save a file? What’s the difference between an *.aup file and a "wav file?
If you want to use your audio in other programs, File > Export and choose the type of file (like WAV). Don’t use File > Save Project (which saves a file only Audacity can use, as the message says).
If you need to open AUP files you already saved, so you can export from those projects, use File > Recent Files to open those AUP files.
See here http://manual.audacityteam.org/o/man/faq_opening_and_saving_files.html#alternative .
Gale