Heat the oil in large soup pot or Dutch oven over medium heat.
Add the onion and sauté for 5 minutes, or until tender.
Add the celery, carrots, garlic, and bay leaf and sauté, stirring frequently, for 10 minutes, or until the onion is golden brown.
Stir in the mushrooms and sauté for 10 minutes, or until most of the liquid has evaporated.
Stir in the lentils, broth, and sherry.
Season to taste with salt and pepper.
Bring the mixture to a boil, then reduce the heat to medium-low, cover, and simmer for 30 to 40 minutes, or until the lentils are tender.
Discard the bay leaf.
Ladle the stew into individual bowls, sprinkle with the parsley, and serve.