I order to save files in the MP3 format you need an MP3 encoder. The free Lame Enc does a fine job.
From the Audacity help pages
Windows Go to the LAME download page. (click here) Click on any link from the list of identical "lame-3.96.1" links. When you have finished downloading LAME, unzip it and save the file lame_enc.dll anywhere on your computer. The first time you use the "Export as MP3" command, Audacity will ask you where lame_enc.dll is saved