It technically means 'at the' because it is a combination of a + le, where 'a' means 'at' and 'le' means 'the'. However you cannot use this in combination with any feminine verbs or nouns because 'le' is reserved to describe masculine terms only. If you ever see 'a la' this is the feminine version and it possesses the same meaning as 'au'. In some cases, like after the verb 'to play' in French, for example "Je joue au tennis" which means literally I play tennis, 'au' is not used to say 'at the' because you would not want to say to play at the tennis. In this case it does not translate well, it is more like an article, in French it is required that you use an article before many words that we would not normally use in English, for example the French refer to speaking a language as speaking the Spanish, or speaking the English, and it's just a grammar rule for them.
Many articles (Le, La, Les, The) mean in English something that sounds exactly how a Frenchie would speak when in their first years of English. I'm a white-american so I was raised with English but South Florida (I supposed the whole state) requires students to take a consecutive two years of foreign language for college but when I got to college, I was in formed I could have payed for language classes there. At first, the thought of learning a language that my Germanic ears didn't like, I dreaded walking into Spanish 101 however, since it was so much fun, I took Span 202, Pacesetter (Span 3 where you're certified fluent by private company) and of course, Spanish 4. I'm going to sharpen my fluency by returning to Spanish 101 if the next college I goto doesn't offer a useful language. (Speak Spanish and French; need to learn one from a different language family; Arabic is best I think.
Most of the time, au means at. However, the meaning depends on the context.