There is no need for the Radon-Nikodým theorem.
By the very definition of the Radon-Nikodým derivative, we are looking for a function $g: (0,\infty) \to [0,\infty)$ which is measurable with respect to $\mathcal{A}$ and satisfies $$\lambda(E) = \int_E g \, dm, \qquad E \in \mathcal{A}. \tag{1}$$
Note that $g(x) := f(x) :=2x^2$ is not measurable with respect to $\mathcal{A}$ and therefore we cannot simply choose $g=f$.
If we define
$$E_n := \begin{cases} \bigg( \frac{1}{n+1}, \frac{1}{n} \bigg], & n \in \mathbb{N}, \\ (1,\infty), & n = 0 \end{cases}$$
then $\mathcal{A} = \sigma(E_n; n \in \mathbb{N}_0)$. Since the intervals $E_n$, $n \in \mathbb{N}_0$, are disjoint and cover $(0,\infty)$, equation $(1)$ is equivalent to
$$\lambda (E_n) = \int_{E_n} g \, dm \qquad \text{for all} \, \, n \in \mathbb{N}_0. \tag{2}$$
Moreover, any $\mathcal{A}$-measurable function $g$ is of the form
$$g(x) = \sum_{n \in \mathbb{N}_0} c_n 1_{E_n}(x) \tag{3}$$
for constants $c_n \in \mathbb{R}$. The only thing which we have to do is to choose the constants $c_n \geq 0$ such that $(2)$ holds. To this end, we plug our candidate $(3)$ into $(2)$ and find
$$\lambda(E_n) \stackrel{!}{=} \int_{E_n} g \, dm \stackrel{(3)}{=} c_n \int_{E_n} \, dm= c_n m(E_n) = c_n \left( \frac{1}{n}-\frac{1}{n+1} \right)$$
which implies
$$c_n = \lambda(E_n) n (n+1)$$
for all $n \in \mathbb{N}$. $\lambda(E_n)$ can be calculated explicitly using the very definition of $\lambda$; I leaves this to you. For $n=0$ we get $$\lambda(E_0) = \infty \stackrel{!}{=} c_0 m(E_0) = c_0 \infty,$$ i.e. we can choose $c_0 := 1$. Hence,
$$g(x) = 1_{E_0}(x)+ \sum_{n \geq 1} \lambda(E_n) n (n+1) 1_{E_n}(x)$$
is a non-negative $\mathcal{A}$-measurable function which satisfies $(2)$ (hence, $(1)$), i.e.
$$g = \frac{d\lambda}{dm}.$$
Best Answer
First, we prove a lemma:
Lemma: Let $(X, M, \mu)$ be a measure space. Let $f$ be a nonnegative measurable function on $(X, M)$. Define a measure $\nu$ on $(X, M)$ by $\nu(E) = \int_{E}fd\mu$ for $E \in M$. Then for any nonnegative, measurable function $F$ on $(X, M)$, we have
$$\int_{X}Fd\nu = \int_{X}Ffd\mu.$$
Proof of lemma:
Suppose $F(x) = \sum_{i = 1}^{n}a_{i}\chi_{A_{i}}$, where the $a_{i} > 0$ are distinct and the $A_{i} \in M$ are disjoint. Then:
$$\int_{X}Ffd\mu = \int_{X}f\sum_{i = 1}^{n}a_{i}\chi_{A_{i}}d\mu = \sum_{i = 1}^{n}a_{i}\int_{X}f\chi_{A_{i}}d\mu = \sum_{i = 1}^{n}a_{i}\int_{A_{i}}fd\mu = \sum_{i = 1}^{n}a_{i}\nu(A_{i})$$
$$ = \int_{X}\sum_{i = 1}^{n}a_{i}\chi_{A_{i}}d\nu = \int_{X}Fd\nu.$$
Next, suppose $F$ is a measurable, nonnegative function. Since $X$ is $\sigma$-finite, we may take nonnegative simple functions $\phi_{k}$ such that $supp(\phi_{k}) \subseteq supp(F)$, and $\phi_{k} \nearrow F$. Then $\phi_{k}f \nearrow Ff$. By the monotone convergence theorem,
$$\int_{X}Fd\nu = \lim_{k \to \infty}\int_{X}\phi_{k}d\nu = \lim_{k \to \infty}\int_{X}\phi_{k}fd\nu = \int_{X}Ffd\mu. $$
This proves the lemma.
By the Radon-Nikodym theorem:
From the above discussion, we see that for every measurable set $E$,
$$\int_{E}d\mu = \int_{E}hd\lambda.$$
By the above lemma,
$$\int_{E}d\mu = \int_{E}fd\nu = \int_{E}fgd\lambda \Rightarrow \int_{E}hd\lambda = \int_{E}fgd\lambda = \mu(E).$$
Radon-Nikodym asserts the function that is integrated is unique $\mu$-a.e., so $h = fg$ $\mu$-a.e., or $\frac{d\mu}{d\lambda} = \frac{d\mu}{d\nu}\frac{d\nu}{d\lambda}$.