A lambda expression is a function literal, just like 3 (for example) is an integer literal. You could imagine a programming language where you couldn't use 3 in a larger expression, but had to define a variable and initialize it to 3. It would still work, but it would be inconvenient and get in the way. Most languages are like that with functions (they can just be defined once and then called), but functional languages let you treat functions like any other variable, including being able to refer to them literally.
Just like you use integer literal when you need a specific integer but don't need to bother with a variable, you use a lambda expression when you need a function but don't need to bother naming it.
A common use is with functions like mapcar which takes a function as an argument and applies that function to all the elements in the other argument. Sometimes you just want to throw a one-off function into that without needing to name it.
Just looking at that particular example, I would guess they're pointing out a difference between scheme and lisp (lisp does that somewhat differently).