Heat oil in a large saucepan over medium heat. Add onion and garlic; cook and stir until softened, about 5 minutes. Stir in curry powder, cumin, coriander and cayenne pepper; cook for 1 minute.
Stir in broth or water and lentils. Bring to a boil over high heat; reduce heat to low. Simmer until lentils are tender, about 20 minutes.
Stir in coconut milk; cook for 5 minutes more. Serve hot.