You can't simply put a dll into some OS (yes, Rockbox is an OS) of your choice and expect it to work or even being able to run.
1. You can't run "exe" files. That's a file format used by windows, and that's it. Same applies for "dll" files.
2. You can't run windows binaries, because x86 is a completely different architecture than your player (depending on your player it's m68k or arm)
3. if you look close you'll find a bunch of other reasons why it wouldn't work like that.
4. why should lame be the default if it even doesn't work that way?