Hi there,
Hopefully I can help..
As mentioned, using the "render" option is what you want to do. This allows you to combine all of your tracks, convert tracks to different file formats, etc.. What you want to do is render your project to a single mp3 file.
Step 1:
Here is a finished project that is ready to be rendered to mp3. Don't worry about the different colors or track heights or any of that. This is just an example file.
Step 2:
Go to File -> Render...
Step 3:
This is where the conversion "magic" happens. You already have the lame_enc.dll file.
* First things first, Go to the "Output Format" dropdown box and select "MP3 (encoder by LAME project)"
* Now go to the top and change the "sample rate" to "44100".
* You can choose if you want a mono or stereo file. In this case, we'll use stereo because we have tracks that are panned to the left and right within the project. Most projects are in stereo.
* Next, change the "resampling mode" to "Extreme 512pt HQ Sinc". If the tracks in your project were recorded at a higher sample-rate than 44100 (the one you specified earlier) this will allow the final result to be more accurate. I recommend this setting on all renders.
* Make sure "Render entire project" is selected.
* Name your file. You can use the "Browse..." button to tell REAPER where you want your file to be saved.
* Now go to the "Quality" dropdown and select whichever quality you like. The higher the quality, the larger the file. If you want to be specific about your bitrate, you can choose ABR (manual), CBR (manual), or Custom.
*Finally, make sure "Render master mix" is checked and click "Render"
And that's it! I hope that helps. This will give you an mp3 that works in any media player that supports mp3s (including Windows Media Player.)
If you have anymore questions, ask away

It's what we're here for!
-Dustin