They didn't continue fighting with their lances after the initial charge or at least it seems very pointless, as Franke said. They would change to melee weapons then, they also made several waves of charges sometimes though. However I don't think the lance broke on charges (more like the guy who's hit) and they had to bring new ones.Even if it didn't broke it would most likely be stuck in the enemies body, perhaps even to a point where they would have had to dismount to get it back. So if the enemy consisted of lightly armed troops I guess the just drew their swords or maces and slaughtered them but against well trained and armed troops they actually fell back to get a new lance and ride a new charge if they had the chance to.