You have to use が　in between レッスン and ありますか. So it would be: 今週の金曜日にレッスンがありますか。

Yes,it's absolutely correct expression but a bit casual. If you ask your teacher if the lesson open this Friday, add は as レッスンはありますか. If you ask your girlfriend if she has a lesson this Friday, add が as レッスンがありますか. But the difference is subtle and the both が・は are exchangeable.