In order to build Audacity with the Docker image you need, well… Docker! In particular you need Docker 18.09.1 or higher and Windows 10 1909 or higher. If you are comfortable with Docker you can probably stop reading here. You need to switch to Windows containers and run the BuildAudacity.ps1 script. If you have no clue what I'm talking about then don't worry, I'll guide you through.
Because Docker for Windows requires Windows 10 Pro you are out of luck if you don't have that.
You can download Docker from here: https://store.docker.com/editions/community/docker-ce-desktop-windows. Install it and make sure to select Use Windows containers instead of Linux containers during setup. When the setup finishes you can start it. If you have not yet enabled Hyper-V it will prompt you to do so. After a reboot you should be good to go and you can start Docker again. It could be it's still be set to Linux containers because it's stupid and doesn't remember what you selected during setup, so you need to switch to Windows containers: Right click on the Docker icon in the system tray and click Switch to Windows containers…
In order to download the image from Docker hub (the default repository for public Docker images) later you'll need to have an account there. You can make one on https://hub.docker.com/. Remember you Docker ID and password because you will be prompted for these later.
Download the file BuildAudacity.ps1 from here, run it and follow the on-screen instructions. It will ask you what versions of wxWidgets and the ASIO SDK you want to use and what commit or tag of Audacity you want to build. A new folder called Volume will be created and when the process completes successfully there should appear a file named Audacity.zip in there. This contains you Audacity with ASIO support. Note that the fist time you run this script it will download the Docker image which is slightly over 3GB in size, so it can take a while. Before the download can start it will ask you for your credentials for Docker hub so enter them. If they are correct the download will start.
If you don't want to build Audacity again you can run the command docker image ls in PowerShell. You'll see an image named stannieman/audacity-with-asio-builder which should have an IMAGE ID. Remember the IMAGE ID and run the command docker image rm ID where ID is the value of the IMAGE ID you got from the previous command. Now the image is removed, saving you a few GB on your system. You can now also uninstall Docker.