Did you download LAME for Audacity from the link on [u]this page[/u]? If you run the EXE file, it should install LAME correctly for Audacity.
…If you can’t get it to work and you’re in a time-crunch, export to WAV or FLAC and then use [u]TAudioConverter[/u] or the MP3 encoder of your choice to make the MP3.