Well, if you can source it else where, sure demand a refund, as they told you it would be 2-3 weeks.
If you can, try starting with 'remember the exhaust I ordered' then ' you said it would be 2-3 weeks?' as he explains why its longer and goes on about delays, tell him you require a refund, as you are unsatisfied with the delay and wish to source a different exhaust elsewhere.
If he protests, tell him you have recorded the conversations, that you have legal advice that they are in breach of contract and that if they dont refund the money within 5 days you will be taking action to recover your money added to which will be legal fees, as well as seeking damages for your vehicle being off the road for an extended period.
but the bottom line is, they are in the US, you are in aust, and unless you have a friend that can take action from the US, and you have money to burn, they can screw you.