How can I convert a .wav file to some other format such as .mp3 in pygame? 
Update:
Why not Gstreamer or Pygame: 
I want to use native Windows environment to install a package that can do this (i.e. don't want to install cygwin). I am searching for a package which has a binary installer available for windows (with Python 2.6) or atleast where I can do "python setup.py install" without a need to install any dependencies.
Pygame is an SDL wrapper. Not a multimedia framework. Why do you want to do audio format conversions in Pygame? Can't you use something else like maybe the gstreamer bindings for Python?
pygame saving audio files