Start by making the pastry. In a mixing bowl, add the butter to the flour. Add the salt and slowly pour in the water. Gently mix together without breaking up the butter until you have a rough dough (it will feel quite dry). Wrap in parchment and chill in the fridge for 1 hour.
Remove the dough from the fridge and, using plenty of flour, roll it into a 1cm- (1⁄2in-)thick rectangle. Fold either end to the centre, then fold in half again. You should end up with something that looks a little like a book. Repeat the process again. This is called laminating. Chill the dough in the fridge for another hour.
Repeat the laminating with two more folds. Roll, fold, roll, fold. You should have folded the pastry four times in total. Chill the pastry in the fridge for another hour, and then it’s ready to use.
To make the Wellington, generously season the venison. Add a little oil to a very hot pan, over a high heat, and brown the fillet until golden and just seared – this should take no more than 5 minutes. Remove the venison from the pan and leave to one side.
Preheat the oven to 220°C/425°F/gas mark 7.
In a separate pan, fry the garlic, mushrooms and chopped rosemary in a little oil until soft. Remove from heat and then add the cooked lentils and blend to a paste in a food processor.
Roll out the rough puff pastry until about 1cm (1⁄2in) thick. Spread a thin layer of the mushroom paste in the middle of the pastry. Top with the seared venison. Cover the outside of the venison with the remaining mushroom paste. Brush one side of the pastry with beaten egg, then fold the pastry over the top. You will end up with a strip down one side – simply press this down with a fork. Brush the entire parcel with beaten egg and cook for 10–15 minutes, or until golden brown.
Remove from the oven and leave to cool on a wire rack. Slice and serve with a dollop of horseradish sauce.