Hi 
You forgot to write sudo insmod at the beggining of your command at the line 4 on your last screenshot.
Should be :
sudo insmod /lib/modules/5.3.0-40-generic/updates/dkms/8812au.ko
I'm sorry I didn't put the command in the right way, but I'm not experienced with the terminal, I've just done simple things.
These were the results:
This time when I put the first command nothing appears and neither when I put the second one. I tried trying from the previous command sudo find / -name 8812au.ko 2>/dev/null but I get the same results.
No problem we all got this issues first time inside a terminal.
Now the driver must be loaded (no output meand that it was ok).
Is the dongle working now ?
you can ensure it is loaded with this command :
lsmod | grep -i 8812au
show us also output of lsusb
I got this:
Looks loaded and should work
That means you don't know what the reason is for the antenna not working anymore, right?
Could it be the Ubuntu distribution I have installed or a problem with the antenna? I tried it on Windows and it works perfectly.
For me it should work. I have a similar device (a mouse that i have to hand load the driver).
You have done exactly the same steps than me some years back and you managed to load the driver.
The anthena should work now in your install.
Let's do one more test. Can you please unplug it, reboot your computer.
Once booted, try this commands (and give us the output) :
lsmod | grep -i 8812au
lsusb
sudo dmesg --clear
Next plug the dongle to the computer, do a :
lsusb
sudo insmod /lib/modules/5.3.0-40-generic/updates/dkms/8812au.ko
lsmod | grep -i 8812au
dmesg
Well, I did what you said:
First disconnect the antenna and reboot the PC. Then I got these results:
I connected the antenna and did the other steps you told me to do (the one below the red mark).
More images are missing, so I'll put them in the next comment.
for me it should really work now.
Can you try fallowing command ?
sudo /sbin/iwlist scan
It's suppose to scan available wifi network around you with all compatible interfaces
It seems to me that if it didn't work this time, you might not be able to help me anymore 
Or am I wrong?
Its really strange ...
What to say xD We done our best man .
It's possible for you to send it back and order one good working with linux ?
You can open a topic asking the community if they can advise you on a other Wifi dongle.
My side i got this one working perfectly some years back and still working on my new setup :
https://www.amazon.fr/gp/product/B00EVI3V9Y/ref=ppx_yo_dt_b_search_asin_image?ie=UTF8&psc=1
And just found that https://willhaley.com/blog/linux-usb-wifi/
Sorry man, up to now, i don't know how to get more deep into that.
I will continue thinking of that my side - why its not working
Last try :
sudo ifup -a
Next :
ip addr
and again
sudo /sbin/iwlist scan
I hope it will help us
It didn't work either. 
I can't return it. I'll have to use Windows (after a long time) while I get (hopefully) an antenna that works on Linux.
I think I'll have more luck getting an old Android smarthphone that can serve as an antenna 
Researching before I had seen that the antenna you recommend is one of the best performing with Linux; however, I can't buy it from Amazon at the moment.
Anyway I plan to install again my Linux distribution, since the one I have is the 18.04 and I would like the last one. I will install it and do this process again to see if it works; it doesn't hurt to try.
So nothing, I just have to thank you very much for taking the time to help me. I really appreciate it.
A hug.
P.S.: The positive side is that I learned to use the terminal a little more.
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Hi LuisC24, look at this carefully:
If don't works, perhaps you must follow steps in Github link.
Hope it helps you.
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Hi, Tim.
I tried it, but when I put the command in:
git clone https://github.com/aircrack-ng/rtl8812au.git
I get the following error:
It says: "The destination path "rtl8812au" already exists and is not an empty directory".
Does that mean I have to eliminate what I did before for it to work? If so, how do I get rid of it?
Thank you for your help.
Pon:
wget https://github.com/aircrack-ng/rtl8812au/archive/v5.6.4.2.zip
Ves a tu carpeta de usuario, descomprime la carpeta y leete el archivo readme que te ha bajado. Te pone como instalarlo. Yo creo que los dkms que tienes instalados son de una version anterior a tu kernel. Primero tienes que desinstalarlos (dkms-remove.sh) y luego instalar los nuevos siguiendo todo el proceso.
Si haces uname -a te sale el Kernel y entonces sabrás la versión que te corresponde (mira ReleaseNotes). A partir de Kernel 5.3 necesitas la versión 5.6.4.2 para arriba.
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Its a other version of the same driver. Let's give it a try !
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¡¡¡HA FUNCIONADO, POR FIN HA FUNCIONADO!!!
No pueden imaginar la emoción que sentí cuando vi todas las conexiones wifi. 
Me funciono el primer método de Tim, pero esta vez me funciono porque borré el controlador anterior.
El problema es que no sabía cómo borrarlo y me había complicado un montón, hasta que por casualidad volví a intentar la instalación.
Les cuento:
Investigando encontré que tenía que borrar todas las carpetas que me había dejado en mi carpeta home el controlador anterior.
Intenté la instalación de nuevo, pero me dijo lo mismo que cuando lo intenté por primera vez: ya existe.
Sin embargo, esta vez vi algo que había pasado por alto: cuando coloque el primer comando sudo apt install git dkms no había visto el mensaje de sudo apt autoremove (LOL ) lo coloque y cuando terminó, volví hacer la instalación.
Desconecte mi teléfono, y cuando fui a ver las conexiones... ¡¡¡BOOM!!! Ya tenía Wifi.
Te agradezco mucho, Tim, me has salvado de volver a utilizar Windows de nuevo; estoy muy acostumbrado a Linux y me gusta mucho.
También a ti, olek, no había llegado hasta aquí sin haber intentado lo que me dijiste.
Saludos, amigos.
Posdata: Les aviso si tengo un problema, porque también leí que a varias personas después de un tiempo tienen problemas.
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