I asssume you can
play the MP3 on your computer?
If FFMPEG doesn't work...
Try using a different program to convert your MP3 to WAV. (Its an extra step for you, but there is no harm in converting to uncompressed WAV, since Audacity is going to decompress the MP3 anyway.) There are many applications that can do this. You could even use a CD burning program to make an a regular (uncompressed) audio CD, and then rip the audio CD to WAV, but that's the long way around... I find
XRECODE to handy & easy for converting between different formats. (The link is to the older FREE version of XRECODE.) Or if you search for "MP3 to WAV", you will find lots of solutions.
You shouldn't have to "Import". You should be able to simply "Open" the MP3. (When you
save, it's a different story... "Save" only saves your Audacity project, and if you want to create an MP3 (or other audio file), you must
Export.)
...I have heard of rare cases where MP3 encoders and MP3 decoders are incompatible. So, it might just be a matter of finding a different program to decode (decompress) your MP3. Once you get past this problem and re-save (export) the MP3, Audacity will be able to open the newly encoded file. (That's assuming you
want to re-save as MP3...)
Since the MP3 is already encoded, you can't change the encoder... I
assume Audacity uses the MP3 decoder that comes with Windows Media Player, or another CODEC already installed on your computer. For
encoding, Audacity uses LAME, and although LAME can also be used for
decoding, I believe Audacity can decode (open) MP3s without having LAME installed.