Take a small baking dish and mix the oil and the beetroot together. Bake for 1 hour or until tender. Allow to cool. Peel beetroot and chop coarsely.
Finely chop the fennel until you have 2 heaped teaspoons. Slice the fennel bulb nice and thin.
Mix all the dressing ingredients together. Use a wide necked bottle or screw top jar for ease. Shake really well!
Toss the fennel, lentils and rocket in a large bowl with half of the dressing. Slowly add the beetroot and toss gently. Top with the feta cheese and drizzle with the remaining dressing.