To heed a lecture = to pay close attention to a lecture. You can also say : To pay heed to a lecture. It means the same thing. Its what a professor would say to students if they arent listening to his lesson. Its very saavy language tho'.

This phrase is also very close to "heed my warning," which gives it an added meaning. I would think that "heed my lecture" would be rarely used and only in cases when the subject of the lecture is of great importance and may also have implications something bad happening to the student because they did not pay attention beyond just receiving a bad grade. It is also much more philosophical in nature and would not be used in common conversation. One would be more likely to say 'listen' or 'pay attention to' rather than 'heed'.

Heed = pay attention to and follow the instructions