As Colin says, Audacity will export iin various formats, but to export in mp3 it needs the LAME encoder, which comes separately from Audacity itself. Here is what I found using Google:
LAME is a library that allows some programs to encode MP3 files. LAME is free, but in some countries you may need to pay a license fee in order to legally encode MP3 files.
To use LAME (or FFmpeg) with Audacity, you can put it anywhere you want, but the first time you want to export an MP3 file, Audacity will ask you for the location of this file, so you will want to remember where you put it.
Hope that helps.
Rhys