Is there an easy way or software that when i enter an audio CD, then i'll be able to find all the audio files on it, and transform them into mp3's ? (Using Mandrake 9.2 - Windows Maker)

cdparanoia + lame + dekagen or grip

and how exectly do i use all those thing to convert .wav to .mp3 ?

First, the audio on a standard CD isn't WAV...wav is a Windows file. However, if you have wav files I think you can convert them directly with lame.

Using cdparanoia/lame with a frontend such as grip or dekagen is fairly straightforward. There's a good chance you already have cdparanoia installed, and maybe lame. If not, you can download the sources or binary packages (google will help find them easily) and install.
Next, do the same for grip or dekagen (grip seems to be more popular). Start up this application and point it to cdparanoia for the ripper, and lameenc (sp?) as the encoder. Also make sure you're using the proper cdrom device.

Maybe that's a bit vague, but honestly if you know how to install software it should be pretty easy.

change $TRACK-NUMBER for the number of the track on the cd and $TRACK-NAME, change that for the name you want to give the track. If the name has spaces you'll get an error so "put quotes" around it or give it a one word name and rename it when it's done.