The Zecher squat and all it's variations has a love/hate relationship with many lifters. They love to do the exercise, but they hate the pain.
To do a Zercher lunge, hold the bar in the crooks of your elbows (see picture) and perform a lunge like you normally would. Any kind of Zercher-style lift is great for learning how to keep your abs tight. Many people like using a Fat Bar when doing these as it seems to help with the discomfort.