Wave is bigger than MP3 in size, as MP3 is compressed. Wave can't be compressed.
Audacity is an editor, but it can do converting nicely once you get used to it, which is a simple process.
Download the program, and also download the LAME MP3 encoder.
Once installed, and ran, go to Options, and you should find something in there about MP3 encoding, and it'll ask to be pointed to the LAME codec you downloaded also.
Then your set.