I use CDex and the operation of it may seem confusing.
When you run it, the application window pops up on the screen. Just drag your wav file into the big white file area -- this will cause a popup dialog to appear with a few options on it. Click the one that says something like "Encode and Convert" (or something like that from memory).
This will cause the program to do something for a few seconds and then sit there idle again. You then have to go into your file system (using Windows Explorer) to CDex's "mp3" folder to find the file it has just made.
Maybe that helps?
Good luck
aspiring