There's a small problem with editing MP3 files which is due to the nature of MP3s.
MP3s are "compressed" - that is, that the audio information is squashed up by "encoding" the data and "unimportant" parts are discarded, so as to make the file size smaller. This process will slightly reduce the sound quality, but usually the loss is not very noticeable, if at all.
The problem comes when you try to edit the file. Most audio programs, including Audacity, need to "decode" the file before it can be edited. That's no problem, but the problem comes if you then encode it again as an MP3. When the file is re-encoded, the data is "squashed up" again, and a bit more "unimportant" information is thrown away. Obviously you can't keep discarding audio information and expect it to sound the same. Each time it is re-encoded it will sound a bit worse, and the "discarded information" can never be recovered. Before long the beautiful music becomes a horribly metallic bubbly mess.
The ideal way round this problem is to start with the music file in an "uncompressed" format (such as WAV) so that it does not need to be decoded. If the final file needs to be in MP3 format, for example if you want to put it on an MP3 player, then you would make a copy of the original in MP3 format.
Of course, if you are starting with MP3 files, then the "ideal" solution is not practical, so the next best thing is to either, import the MP3s into Audacity and export from Audacity in WAV format (so that the audio is not being re-encoded), or to edit the file without de-coding it.
Do you
need the final edited file to be in MP3 format? If you intend to put the files onto a CD, then Exporting as WAV would be the best option. If you intend to put the files on an MP3 player, then you will need the final format to be MP3.
Unfortunately Audacity (and most other audio programs) cannot edit MP3 files without decoding them first, but fortunately there is a free program called MP3Split that can. It is a very basic program that can do little more than split MP3 long files into smaller MP3 files, but it can do that without decoding them, so there is no loss additional in sound quality. MP3Split is available here:
http://mp3splt.sourceforge.net/mp3splt_page/home.php (there is a Windows version on the Download page).
If you need to do more complex editing and you have to have the final files in MP3 format, and you don't mind the small additional loss in sound quality, you can use Audacity, but you need to install "Lame" to enable Audacity to encode MP3s. I would recommend that you install Audacity 1.3.12 (Audacity 1.2.6 is virtually obsolete now).
Audacity 1.3.12 is available here:
http://audacityteam.org/download/beta_windows
Full instructions for installing Lame are here:
http://audacityteam.org/help/faq?s=install&i=lame-mp3