When you are finished making your audio file you have to EXPORT it. The default export file type is a WAV file. Most computers can open a WAV file with Quicktime or Windows Media Player.
To export it as an MP3, you can follow these instructions:
Alternative MP3 encoding with iTunes
Export as WAV or AIFF from Audacity, drag the file into iTunes, and convert it to MP3 in ITunes 8 as follows:
Click iTunes > Preferences
Click on the leftmost "General" tab
Click the Import Settings button half way down on the right
In the "Import Using" dropdown, choose "MP3 Encoder"
Click OK and OK
Control-click over the file you want to convert > "Create MP3 version"
If you have iTunes 7, the setting to change is on the small "Importing" tab inside the "Advanced" tab.