Here are the instructions:
just look for the "File" at the menu bar, and you can see the option there "Export as Mp3" but you can only do that if you have previously opened a file in audacity and you are going to import it as mp3, for example you opened or imported a .wav file on audacity, now you can "EXPORT that as MP3", at this point and if its your first time audacity will ask you where the lame_enc.dll is saved, just go and choose that file and all will be done. goodluck.
for redundancy here are the instructions, (you could skip steps 1-3 if you already have lame)
Windows
1. Go to the LAME download page.
2. Under "For Audacity on Windows", left-click on the link "libmp3lame-win-3.97.zip" and save the zip folder to anywhere on your computer.
3. When you have finished downloading the ZIP folder, unzip it and save the file lame_enc.dll that it contains to anywhere on your computer.
4. The first time you use the "Export as MP3" command, Audacity will ask you where lame_enc.dll is saved.
5. In case of difficulty, please view our more detailed instructions at the Audacity Wiki.
Mac OS 9 or X
1. Go to the LAME download page.
2. Download either libmp3lame or the version of LameLib for your operating system.
3. When you have finished downloading, use Stuffit Expander to extract the files. (This may happen automatically.)
4. Save the file called "LameLib" or libmp3lame.dylib anywhere on your computer.
5. The first time you use the "Export as MP3" command, Audacity will ask you where LameLib or libmp3lame.dylib is saved.