The relevant step of the instructions you link to says to drag the plugin into:
Linux: /usr/share/audacity/plug-ins, /usr/local/share/audacity/plug-ins, or ~/.audacity-files/plug-ins
If you are attempting to drag it into /usr/blah then you are trying to drag it into a system folder that normal users don't have permission to put stuff into.
Why not try ~/.audacity-files/plug-ins instead, if that exists? if it doesn't exist, try creating it first and then dropping the plugin there.
For what it's worth, there are several good compressors that will work with audacity, which are probably available from you software repository. Look in Ubuntu Software Center for Steve Harris LADSPA plugins, Invada plugins, TAP plugins, Guitarix, and Rakarrack. Lots of cool plug-ins to mess around with!
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