The LAME dll is not included in the distribution of Reaper. You have to find it and download it yourself. for example, heres one I found in google : it says for audacity, but it's just the dll. unzip it into your reaper directory I think.
i heard there's a different version of lame called lame mt (as in multithreading) any thoughts on that? for a long time i used mpeg suite which was really fast and had decent quality with whatever default codec it came with.
I use lame when I need to put up mp3s for quick listening, but I don't really have a need to export to a compressed format much. I also own a copy of Cubase that comes with a Fraunhofer MP3 encoder, but meh, LAME does the trick.