Hmm. I used almost exactly the same command, but with a couple of differences:

1) The files were 01.wav, 02.wav, 03.wav, and 04.wav

2) There were four files instead of two.

3) I specified lame.exe specifically instead of just "lame".

Perhaps it needs the two-digit file names to correctly determine sequence? And perhaps it needs at least three files so that it knows it's in multi-file mode? Or maybe you were invoking a lame.bat file instead of the EXE directly?
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Tony Fabris