If you have Mac OS X 10.6.x (Snow Leopard) you have QuickTime Player X (Applications / QuickTime Player) which allows Audio Recordings.
If you have Mac OS X 10.5 or prior, GarageBand might also do the trick. Have you taken a look at Audacity's help and documentation?
Btw, if you have bought your Mac in the last six months it will have Snow Leopard on it. Or if you bought SL and installed it.