The striker made his debut for England against Scotland in midweek, scoring the winning goal with his first touch, and followed that up with a last minute penalty to give Southampton a win at West Brom.
Lambert admitted that the past week could not have gone any better if he had dreamed of it.
"It's been one of the best weeks of my life, if not the best week of my life," he told Sky Sports.
"To top it off with a win away to West Brom is terrific; I couldn't have dreamt it to be any better."
The pressure was on when the former Stockport and Bristol Rovers front man stepped up to take the 90th minute spot-kick but that is something he says he enjoys.
"I knew the importance of it, I knew if I scored, the likelihood was we were going to win and it was a pressure moment," Lambert commented.
"That's what I like, that's what I seem to thrive on and I've managed to score from the spot again, which has thankfully given us the three points."
Not that the 31-year-old would have been disappointed with a point from the Hawthorns as Lambert revealed that in the minutes before the penalty he would have considered a draw a more than acceptable result.
"I would have (taken a point), I'm not going to lie. I thought West Brom were tough in the second half and put us under a lot of pressure," he added.
"I thought one point would have been good but to come away with three is huge, absolutely huge."