Translation:Please do not go to that store.
It's part of the verb. 行きます (ikimasu) becomes 行かないで (ikanaide). This conjugation of the verb is called the "te form" (even though some verbs become で instead of て). It has a lot of different uses, but in this specific sentence, when you want to ask that someone please do/don't something, you use the te form of the verb with kudasai.
行きます (ikimasu) I go
行かないでください (ikanaide kudasai) Please don't go
行ってください (itte kudasai) Please go
食べます (tabemasu) I eat
食べないでください (tabenaide kudasai) Please don't eat
食べてください (tabete kudasai) Please eat
I hear "nee ee kah nigh ee" so it's there, but it's quick and kind of blends in with the "nee" that precedes it. I've had better luck with learning to hear word separations using the slow version of the recordings with other languages, but even the slow version of Japanese is often too fast for me to follow (although I'm improving with lots of practice).