Preheat the oven to 180 C / Gas 4. Grease an ovenproof dish.
Prepare the syrup by combining the water, sugar and lemon in a saucepan over a high heat. Bring to the boil and boil for 10 minutes then take off the heat and set aside.
Take one piece of filo, butter all over, take another piece of filo and butter well and then another piece and again butter well. You should have three pieces of buttered filo on top of each other. Sprinkle some nuts along the long side of the pastry then tightly roll up the filo dough into a sausage shape.
Cut the baklava in to 3 to 4 pieces (depending on how big you want the baklava pieces) then place into the prepared ovenproof dish. Repeat the process until you have used up the filo pastry and nuts.
Bake in the preheated oven until golden brown, about 15 minutes. Once the baklava comes out immediately pour over the syrup. The syrup will soak into the baklava - but if you think it's too much water for you then reduce to taste. Allow to cool then serve.