Coat the bottom of a medium sized sauce pot with cooking oil and place over medium heat. Add the onion and carrot and cook for 2-3 minuets or until softened. Add the garlic, red curry paste and cayenne. Cook until fragrant, for about 1 minute. Add the lentils, the coconut milk and the vegetable stock or water. Bring to a simmer and turn down to medium low. Cook slowly for about 20 minutes, or until the lentils have softened and swelled. Remove from the heat and season with lime juice and salt and pepper as needed. Garnish with cilantro and serve.