Regarding metasploit, I ran into this problem just now on Lame as well and was able to figure it out. My guess is the actual exploit itself has changed since the walkthroughs were written, or else maybe my metasploit somehow was different.
Anyway, it appears the exploit did not have a payload specified, or else maybe had a generic payload specified. I did some Googling and found how to select and specify a payload using (withing metasploit) “show payloads”. This will list the payloads which are compatible with your selected exploit. Then I just tried a few until I found one which worked. Note that you may need to define certain additional options once you’ve selected a payload, such as LHOST and LPORT. Just type “options” after choosing your payload and it should show what you need to define.
Hope this helps.