However, if you only want to convert files to MP3 and don’t need to do any editing, there are other programs that are better suited to the task such as Foobar2000 (Windows), LamedropXPD (Windows), Sound Converter (Linux), SoX (cross-platform command line program).
Creating an MP3 requires coder software which is purchased copyright software. The “lame” work-alike software is available for Audacity but can’t be included and has to be installed separately like the FFMpeg software for other sound formats.
You should get and install lame and FFMpeg from the Audacity download site. Do not use other packages from other web sites.
And Yes, if you have iTunes for either Mac or Windows, you can convert any sound file to MP3, M4A, or any of the other compressed formats they support. Select the sound format in Preferences and then right-click the sound file.