Rinse the lentils and put them into a saucepan with the water, onion, leek, thyme and bay leaf. Season with salt and cook for 1 hour or until the lentils are very soft. Drain, removing the bay leaf and reserving the cooking liquid.
Season the pheasant with salt and pepper, pour the melted butter over it and roast at gas mark 4, 350°F (180°C), for 30 minutes or until slightly underdone. Cut the pheasant meat off the bones, setting aside the breast fillets. Pound the remaining meat in a mortar, and add the lentils. Pound again thoroughly until the mixture is perfectly smooth, rub it through a fine sieve into a saucepan and moisten it with the reserved lentil stock. Re-heat, add the cream and correct the seasoning. Dice the reserved pheasant breast fillets, place them in a tureen and pour over the soup.