"I'm really disappointed we lost the game," Lambert told Sky Sports News. "We are in a game now, that's for sure.
"We knew what was coming - set pieces - and we never defended them well at all. That's definitely what's hurt us but that's certainly not good enough.
"We had a lot of the game and yes they were set pieces but set pieces are a vital part of the game and you've got to defend them. We didn't do that."
Despite defeat, the Scottish tactician remains positive of his side's chance of progression.
However, he has warned his players that they must perform much better if they want to reach the Wembley showpiece.
"It's half time and we've got time to retrieve this," he added. "We'll see what happens in a fortnight's time.
"We know what we've got to do and we've certainly got to do a lot better than that."
The second leg takes place on January 22.