Mix together the cream cheese, horseradish, and lemon juice, then season well with a pinch of salt and plenty of black pepper.
Cut the smoked salmon into rectangles about 20cm wide, then lay out on greaseproof paper. Spoon the cream cheese mixture onto the salmon, and spread evenly all over the surface.
Starting from a short end, roll up the salmon as tightly as you can. Next, roll the greaseproof paper around it, twisting the edges of the paper tightly so that you have a sausage shape. Repeat until all the salmon has been used.
Chill for 15–30 minutes to firm.