This page contains content in Flash video format (7 MB). The video illustrates the following:
How to find "Portable Apps" (which may be done via a Google Search, wich will turn up several links including: http://portableapps.com. In other pages you can see videos that demonstrate:
Downloading "Portable Audacity" (Windows version); saving the downloaded "ZIP" (compressed folder) version to a previously prepared, empty folder location on the computer.
Unzipping (decompressing or extracting) the zip file to an empty folder.
Once extracted into a folder, the folder containing Portable Audacity and its associated files and directories may be dragged over to a USB flash drive and run from there, or the folder may be copied over to a computer desktop or "My Documents" directory and run from there, without the complications of installations (which often require Administrator rights for a machine).