All you need is XMPlay and LAME encoder from: http://support.xmplay.com/Encoders_index.html
Now copy lame.exe and lame_enc.dll into your XMPlay dir (the same dir with the xmplay exe)
Then load xmplay.
Open Options & Stuff and go to External encoders tab. Set encoder to lame. In command line type i.e.: lame -m s -h -b 192 - %o
Go to Device tab, set output device to External - LAME
Hope this helps
One of the other more experienced members will be able to help more.