I don't think they have in flight entertainment on any flights to anywhere.

No they don't as robert says. Ryanair are a budget airline so there isn't any luxuries. You'll be able to use a DVD player though if you want to watch your own film.

Hi lis20, it might be worth you looking at the ryanair thread on the "Flight only/ Airlines and Airports" discussion page. Its a long thread but there are some hints and tips and things to be aware of. They have quite strict regulations and its fairly easy to fall foul of these and end up paying extra surcharges. It might just be useful to you as you say its your first time flying with them.
Have a good time in Lanzarote.