Yes, this is probably a very simple problem that isn't too hard to solve but how do I convert an .aud file (audacity) to .mp3. I have heard that I should use LAME (pro acronym) but whenever I try to download it, it fails.

The LAME plugin has worked fine for me so far. I've only tried to convert .ogg -> .mp3 though. If the download doesn't work, just try again later.

What do I open LAME encoder thing with once I downloaded it or do I have to use winzip. I tried opening it in audacity but nothing happened

IIRC put it in the same folder as your audacity's exe.

Download this. There's nothing to unzip; you just install it and then use audacity. After I installed that, audacity didn't ask me to locate the file; it just automatically converted the track to mp3. Also, I think you have to let it download in whatever folder it asks to download in.

http://audacity.sourceforge.net/help/faq?s=install&i=lame-mp3