Look in google for a LAME.dll. Put that on your computer, head into Audacity.
Go to Edit > Preferences, head to File Formats, and at the bottom it will say "MP3 exporting plugin not found". Click Find Library and take it to the LAME.dll file. Volia. You can now export in MP3 format.
But you DO know that .ogg files are much smaller than their .mp3 counterparts, right?