What version of Premiere Elements are you using and on what computer operating system is it running?
Generalizing, video is composed of video and audio compression and has a file extension that represents the container/wrapper format for the video and audio compression. And, it is important that you distinguish between video audio compression versus file extension. There is so much more needed to begin addressing this question.
So, let me generalize to your wide open question. If you import media into a project for editing purposes, the exit for the media is export. In the export section of the program (Share/ in earlier version; Publish+Share/in later versions), you pick the export opprotunitity that meets your requirements. Some choices might include:
Publish+Share/Computer/MPEG for your MPEG
Publish+Share/Computer/AVI for your AVI
Publish+Share/Computer/Audio for your mp3
But, you will need to define the properties for those exports in the export area, either using default or customizing the export settings.
So, first order of business
What version of Premiere Elements/Operating System?
What do you have in the way of source media and what do you want to go with it? Are you setting up the project correcting?
What are the requirements for the export of this edited video?
The answers are in the details so we shall be watching for them.
Only one from many
Caution about Premiere Elements references. Although principles remain the same from Premiere Elements version to version, features often do not. So, best aim for information that is specific to your version which you have not named yet.
The Tutorial Links Page http://forums.adobe.com/thread/1275830 has several links about SHARING options
Premiere Elements FAQ List (2 pages of FAQ as of September 2013) http://forums.adobe.com/community/premiere_elements/premiere_elements_faq?view=all
Premiere Elements TIPS List (6 pages of Tips as of September 2013) http://forums.adobe.com/community/premiere_elements/premiere_elements_tips?view=all