Quarter lemon and remove seeds. Finely chop thyme leaves and place with lemon in medium saucepan. Add carrots and water, bring to a boil and cook until reduced to 3-1/2 cups. Pour in polenta in a thin stream, whisking constantly, and then cook, switching to a wooden spoon as polenta thickens, about 5 minutes. Check for seasoning and serve immediately as an accompaniment to lamb shanks with artichokes and olives.