Nah, this often happens. You found a nice video in Nico Nico Douga but too bad, you couldn't find any mp3 of it although you've searched in Google, 4shared, or other download site and search engine. If that happens, you actually can convert the video in Nico Sound ^^
First, go to Nico Sound: http://nicosound.anyap.info/index.aspx
The site is like this:
Now just paste the video URL in the box which I marked by red circle, then click the button besides the box.
It will appear like this:
Scroll down a bit... You'll see this:
Click the button I've marked with red circle. "MP3" is written on it. After you clicked it, a dialogue box will appear.
Click OK, then your download will start soon =)
Hope this will help ^^
Once again, sorry for my bad English! >.<