I am not sure how to do this. I just tried doing it and the message I get from the program says it uses LAME to export. I am highly confused.

Ok...for those of you who haven't figured this out....go to the audacity page and download the LAME encoder first. Unzip the file and put it anywhere on your hard drive. JUST REMEMBER where you put it. I found mine in my downloads folder as I had downloaded it and forgot all about putting it anywhere obvious. When you go to export a file as an mp3, Audacity will direct you to find the lame encoder location so it can use it to do its job. Once found, it's a no brainer. If you move LAME, Audacity will want you to help it find the file again. It took me a few minutes to slow down enough to figure this out. Not exactly the most intuitive thing in the world but what do you want for free?