No file or Directory found when trying to install

Your profile says that you use Windows 10, and this is the WIndows forum, so I assume that you are using Windows.

The “Flathub” packages are for Linux and will not work on Windows.

Audacity for Windows is available via the Audacity website: https://www.audacityteam.org/download/windows/
You need the “Windows Installer” version.