AUP is not a sound file.

Audacity does not save sound files.  You can make a normal, stand-alone sound file like WAV or MP3 by File > Export. 

-- A WAV is a very high quality, large sound file that will open in Mac, Windows, and Linux. It can be used for editing, production, and archive. WAV is the default Audacity Export.

-- MP3 is a lesser quality, smaller sound file that will also open in Mac, Windows, and Linux.  MP3s are good for listening and web posting, but are easily damaged and are bad for editing and production.

-- MP3 Export requires special additional "lame" software. Audacity can't Export MP3 by itself.

Audacity saves your show as a Project. 

File > Save > MyMusic, and Audacity will make a folder called MyMusic_data and a file called MyMusic.aup. Those two make one Project.  

The aup file is a list of instructions that tell Audacity what its screen looked like when you saved it, and what to do with everything inside the _data folder.  The _data folder holds your show in tiny pieces. Projects only open in Audacity and you should never open a _data folder.  Let Audacity do it.

Projects do not save UNDO.

You can transfer or copy a Project wherever you want, but you have to keep the aup file and the _data folder in the same place for the show to open. They need to see each other.

Audacity opens its own or older Projects.  Audacity 1.3.5 will not open a 2.0.2 Project.

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