Peel, seed and dice the butternut squash. Peel and chop the shallots. Combine the vegetables in a large bowl and add the olive oil and 5 thyme sprigs. Spread seasoned veggies out on an oven tray and bake in the oven for 30 minutes. After 30 minutes, switch the oven to broil and let the vegetables roast for another 15-20 minutes.
While the vegetables are roasting, rinse the red lentils and add them to a pot with 1 litre of water and 5 sprigs of fresh thyme. Bring to a boil, then add 1 tsp of salt and lower the heat to minimum. Let simmer for another 15-10 minutes, or until the lentils are soft. Remove from the heat when ready, discharge the thyme sprigs.
When the roasted vegetables are ready, remove the thyme sprigs and transfer the vegetables, along with their oil, to the red lentil pot. Blend with a hand blender until smooth. Adjust the salt if desired, stir in the cream and serve.