Bring the water to a boil in a medium saucepan over medium-high heat.
Slowly whisk in the salt and cornmeal.
Reduce the heat to low and cook, whisking constantly, until the polenta is smooth and slightly thickened, about 2 minutes.
Cover and cook, stirring every 10 minutes and scraping up the sides, bottom, and corners of the pan, until creamy and tender, about 30 minutes total.
Remove from the heat, stir in the Parmesan, and cover to keep warm.
To serve, divide the polenta between bowls. Top with a lamb shank, then spoon the sauce over the lamb and polenta.