Yup, you can always render out to a 16bit/44.1khz file (cd quality) and then mp3 it from any other tool (iTunes, Windows media, etc.)
Lame can be a bit of a bugger to install as it always seems to want to be in various places to work right depending on which particular os version you have.
Try the reaper app folder, the Windows system folder, the win32/system32 folder.
you may have to put copies in several places until it works. wont hurt anything.
As jiff pointed out the newest version of Reaper needs the very latest lame version.
(oh and don't forget to unzip the file! You'd be surprised how many people forget to do that when installing vst's and other stuff...)