So, what is the difference between these various formats

Compression, quality, and licensing. Your needs may vary depending on devices, space, etc.

and how can I convert the .wav file to an .mp3?

Install "LAME" from whatever package manager Mandriva uses. Then:
lame -m j -h --vbr-new -b 160 songname.wav -o songname.mp3

That creates a variable bit rate (vbr) mp3 @ 160 bps.
*note: some players are unable to play vbr mp3's.

also 'man lame' after you get it installed.