How do you increase the volume of an audio file with the computer program Audacity?

Load up the audio file.

Press Control-A to select the whole waveform.

Click on Effect then down to Amplify.

Select how much louder you want it to be... and you will notice that any loud points in the audio or spikes (if you ripped it from a record, for instance) will cause the available range to be lower. This is to help prevent clipping/muffling.

Then after you apply the Amplify, you can save it in your preferred format.