Learn Portuguese (Portugal): Eu olho para a imagem.

Yes, para usually means "for" or "to". However, in Portuguese, the verb olhar (to look) always pairs with para to mean "look at". Think of it as directing your eyes to something: olhar para a imagem (look at the image).

Since this lesson is about the present continuous, how would I change this sentence to say "I am looking at the image"?

To say you are doing it right now, use the verb estar (to be) + a + the infinitive (the original, unchanged verb). You would change Eu olho to Eu estou a olhar. The whole sentence becomes Eu estou a olhar para a imagem.

Why is it a imagem? I thought words ending in "m" were usually masculine.

It is true that some common words ending in -m are masculine (like homem, meaning man). However, words ending specifically in -gem — like imagem (image), mensagem (message), and viagem (trip) — are almost always feminine in Portuguese. That is why we use the feminine word for "the", which is a.

How do I pronounce the lh in olho?

The lh combination in Portuguese makes a single sound. It does not exist in English, but it is very similar to the "lli" sound in the English word "million". You do not pronounce the "l" and "h" separately!