To create a normal audio file, you need to “Export” from Audacity.
Audacity natively supports several audio formats, including WAV, AIFF, Ogg, and FLAC, but does not include an MP3 encoder due to license/patent issue. So, to create an MP3 file, you need to either:
a) Install LAME according to the instructions here: http://manual.audacityteam.org/o/man/faq_installation_and_plug_ins.html#lame (which gives Audacity the ability to export MP3 files)
b) Export from Audacity as WAV and use another program to convert from WAV to MP3.