I’m not sure when Joseph Smith first introduced the idea of baptisms for the dead (the lesson doesn’t say), but the first baptisms by proxy were performed in 1840. This was an extremely radical practice at the time (as it is in our time, as well). “The practice was forbidden by the Catholic Church in the 4th century as an aberrant practice of heretical groups, and is not practiced in modern mainstream Christianity, whether Catholic, Eastern Orthodox, or Protestant.” (from Wikipedia article at http://en.wikipedia.org/wiki/Baptism_for_the_dead)
The Saints learned about baptism for the dead line upon line, precept upon precept. To begin with the baptisms by proxy were performed in the Mississippi River. “But in January or 1841 … the Lord declared: “A baptismal font there is not upon the earth, that they, my saints, may be baptized for those who are dead—for this ordinance belongeth to my house, and cannot be acceptable to me, only in the days of your poverty, wherein ye are not able to build a house unto me” (D&C 124:29–30). Proxy baptisms in the river were discontinued on October 3, 1841, when the Prophet announced: “There shall be no more baptisms for the dead, until the ordinance can be attended to in the Lord’s House. … For thus saith the Lord!”1 The Saints quickly began building a temporary wooden font in the newly excavated basement of the Nauvoo Temple.