How am I supposed to know, I'm not sitting in front of you computer and you're not exactly generous with providing information which could help us to help you.
Now that you mention that you are using Audacity, there is the possibility that Audacity locks files while they are open in that application; some audio editors do that and I wouldn't be surprised if Audacity did the same. So as a first thing to try, close the file in question in Audacity before opening it in OpenMPT.
It's also possible that you are exporting the file in an uncompressed format that OpenMPT doesn't know; you should verify that the file has two channels (stereo) at most, and its bit depth should be no higher than 32-Bits. Only PCM and Float type WAV files are supported.
If all of this doesn't help, upload a small (!) example file with which you can reliably reproduce the problem.