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.
Cavalry charges also depended much on tactic and opportunity. A frontal cavalry charge on closed, disciplined infantry could end disastrous for cavalry and with the use of pikes those charges became completely uneffective. So the best would have been to charge loosened formations or simply untrained units. Cavalry would also only charge if a flat terrain is available, uneven and muddy terrains would be avoided. Meaning that those lancers (in this time they were mostly knights I think) had to fight as infantry if required.
