well... the window's Sound Recorder can do it. Open the WAV, go to Properties, then select 'Convert now'. There will appear a box where you choose the format you want convert to. Then choose MPEG Layer 3, and select the rate you want (can be the greater, as the quality will be better).
Doing this will convert your WAV file to a MP3 file. Note the extension of the file will remain WAV, only the content of file will be changed.

PS. I do it with win98... maybe later versions are somewhat different. But try anyway.