I downloaded an audio file using Windows 11! Where is it?
Sorry, since we do not have insight into your computer, we cannot tell you where it is.
If you downloaded it from somewhere, it is probably in your download folder - unless you selected a different folder for your downloads.
If you exported it from Audacity, it is probably in the folder defined in Audacity’s settings.
What kind of sound file is it and where did it come from? There are some performance venues what will refuse downloads but just won’t tell you.
If you can’t tell us any of that, it could be noted that Audacity can’t be used for surveillance, law enforcement, or conflict resolution.
Koz
The audio appeared to be downloading but it’s not in my download folder. I tried to find “settings” but couldn’t find it! How do I navigate to settings?
I don’t know what kind of file it was but it was a podcast from Foxpro. I’m trying to download another podcast and clicked the red button – and it appears to be recording it but don’t know how to tell if it’s actually recording. How do i tell if it’s actually recording?
Recording is different from downloading… 
You don’t need Audacity to download files. (1)
How to record the sound that’s playing on your computer.
After recording you’ll need to Export the audio (as a WAV or MP3, etc.) or you can Save to an Audacity Project (which can only be opened/played in Audacity).
(1) Of course, you don’t always get a “download” button. And in many cases they don’t WANT you downloading or recording. For example, when you stream a song the artist (or copyright holder) gets a fraction of a cent. They don’t get paid anything after you steal it…
There is a menu item called “Preferences” or “Settings” or similar. In macOS, it is under the menu “Audacity”, in Windows it might be either in the far right of the menu, or somewhere at the left, near the “file” or “edit” group of menus.
If you do not find your file(s) in the pre-defined directory (or if you did not define it at all, like me), you may use the search function of your OS; you just need to know (a part of) the filename.
Here is how it looks on my computer / version 3.6.4:
I wouldn’t be surprised if it’s “operator error” – so thank you for this link. I’ll watch it!