Hey MickyD, thanks for your help.
Unfortunately, Audacity doesn't seem able (also) to read .vgz files, so I think it would be impossible to export, since I cannot open the music.
I did this process using Audacious, a freeware music player that can actually read this music and tried to record with Replay Music in mp3 while it was playing. This worked out OK, but the tracks lost their Tags, what means that I ended up having 200 tracks without name.
I'm still hoping that this can be a easy fix in MusicBee, since there is already a plugin for Winamp that allows .vgz playback.
Maybe somebody can give their input.
Best regards