The 'Send to' option is designed to open an email client, such as Outlook Express or Windows Live Mail, with a new email created (and with the file that you're trying to send already attached to it). That's fine if you actually use an email client but many people now use web-based email services instead.
I'm guessing that you use 'webmail' and send your email through your computer's web browser (such as Internet Explorer); in which case the 'Send to' option won't work for you.
The following will work with BOTH email clients AND with webmail:
Make sure that you know where the audio file is located on your computer. Create a new email in just the same way that you'd do if you were simply sending text. Look for a button labelled 'Attachments', 'Attach', 'Attach File' or something similar; click on it. Navigate to the location of your audio file and double-click on it. You should then see the file listed at the top of the email as an attachment. Send the email as usual.
Chris