The transport buttons at the top of Audacity's interface work just like a VCR's: Play, Stop, Record, etc... Click the record button at the top of the interface (mouse over to see the name of each button). You will see a track appear in the workspace, and begin to move forward in time as it records.
In the upper right hand corner, you will also see a microphone level meter showing how powerful your microphone's signal is. Adjust the level on your recording interface while speaking as loudly into the microphone as you plan to speak during your recording session.
You want the digital signal to be strong enough to use up most of the area of the track (this helps reduce noise), but you don't want to make the signal so strong that it clips, or distorts, by going past the limits of the track.
If your audio interface or sound card doesn't have a input volume knob, you will have to adjust the volume internally, using the computer's software mixer to raise and lower the microphone input level. Once your level is set, you are ready to record.