I would say to give a lesson. It is different for a conference, you can chair a conference or facilitate a conference. To hold may work too, but it generally implies a location (or a mean, e.g. I will hold a lesson on skype).

I think "to lead a lesson". Because "conduct" has a slightly different meaning. For example: The copper conducts current - Медь проводит ток.

Elena, Both to lead a lesson and to hold a lesson are correct in English. However, to teach a lesson would be more common. I give a lesson? This would be less common than to 'teach a lesson.' IMHO. Roy

Hi, "to lead a lesson" is incorrect, to hold a lesson, to give a lesson is fine)