If you're referring to the program Audacity, if I remember right you need an mp3 add on so that you can work with mp3 files
As a follow on to this - Audacity is a great audio editor (I use it extensively), but to save MP3 files, you do need an MP3 add-on. The way to do that is to get the "Lame" plug-in (that's it's name, not an adjective...), and it's free. Check this page for all the info you need to know:http://wiki.audacityteam.org/index.php?title=Lame_Installation
Once the Lame add-on is installed, MP3 saving can be done right from within Audacity from the "File | Export" menu item - no separate steps needed.