1. Heat a saucepan over medium-high heat. Add oil to pan; swirl. Add lamb and next 4 ingredients (through red pepper); sauté 4 minutes, stirring to crumble. Add onion, carrot, and jalapeño; sauté 4 minutes or until lamb is browned. Add garlic; sauté 1 minute, stirring constantly. Stir in tomato paste; sauté 30 seconds.
2. Add lentils; sauté 30 seconds. Stir in broth and next 3 ingredients (through tomatoes); bring to a boil. Reduce heat, and simmer for 40 minutes or until lentils are tender. Ladle about 1 cup lentil mixture into each of 4 bowls; top each serving with 1 tablespoon yogurt and 1 tablespoon cilantro.