Depilego

Yes, the word for lesson is 'lección'. The plural form is 'lecciones'.

¿Cómo = How
(All questions start with an inverted question mark. The stressed syllable of the interrogative is marked with an accent over its vowel.)

van = ((they) go) = are (the lessons) going
(conjugated form of the infinitive 'ir' (to go) - third-person plural, present indicative tense)

las = the
(An article must agree in gender and number with the noun that follows it.)

lecciones? = lessons?
(feminine plural noun - The accent mark found in the singular form disappears when the word is pluralized, because the ending adds another syllable.)

¡Hola! ¿Cómo van las lecciones?