Audacity breaks long tracks into small pieces so it can edit them more efficiently. When you save an .aup project file, Audacity stores all the pieces in a _data folder that has the same name as the .aup file. For example, "song.aup" will open the pieces inside the "song_data" folder.
You should not touch the .au files yourself, or move or rename the _data folder. Simply open the .aup file, then Audacity will load the .au files in the correct sequence automatically.