Audacity doesn't support ASIO drivers out of the box. The reason is licensing. Steinberg do not alow the ASIO SDK to be redistributed (as required by open source projects) and anyway, Audacity is GPL licensed so is probably incompatible with the SDK licence.
Actually, Audiacity supports MME and that is absolutely fine for most uses. Reasons to use ASIO include using Behringer mixers, or take advantage of the low latency or multiple channels supported by ASIO. In my case, the multi channel driver supplied with a Keith McMillen K-mix is ASIO only.
I wanted to record channels 3 & 4 as a stereo pair but found even with the ASIO build audacity has very limited multi channel support. For example, the peak meters always show channels 1 & 2 and to record 3 & 4 requires recording 1, 2, 3 & 4.