If you have a .au file opened you can save it as a .wav file, and Goldwave converts it for you. The program is very easy to install. To use Goldwave you will need a soundcard. Some audio players can only play certain types of file formats. For example, Sound Recorder can only play .wav files.
Some programs can convert file formats.
For example, they could change a .au file to a .wav file. The substance of the sound would still be the same, but the way the data is encoded changes. Sound Exchange Sound Exchange, or SOX, is one program that will convert audio file formats. It converts between many different formats including .au, .hcom, .raw, .sf, .voc, .auto, .cdr, .dat, .wav, .aif, .snd . SOX is very easy to use.