By the way, I second Wombat's opinion. Audicity has to be the best free one, plus its open source so editable too!
Its so good, I was shocked it was free when I first got it, and its rather easy to use too.
To save as MP3 files, you just have to download the Lame.dll encoder which you just simply browse for when you select it in one of the options. If you have winamp, just search for it using Windows Search, and simply browse that location.
if not, the files here:
Hope this helps