Preheat the oven to 375 f.
In a large skillet over medium heat melt the butter; saute the onions.
Stirring occasionally, cook the onions for 8 minutes or until they start to get translucent.
Add the Olio do Panne, anchovies and lentils.
Cook the mixture for 2 more minutes; then remove the pan from the heat.
Another way to do this is put the onions, spice and lentils in a rice cooker and cook on the steam setting.
Cut acorn squash in quarters.
Spoon the seeds and stringy middle out of the squash, and discard.
Top each quarter with a generous portion of the onion mixture.
Roast them cut side up on a baking sheet for 50 min or until the flesh is just tender.
Let the squash cool for 20 min.
Season it with salt and pepper to taste.