Yes. When you arrive in Orlando, you will be directed to the immigration hall. You will need to proceed through US Immigration (and will require whatever documentation is required for that according to your nationality, which may involve an ESTA or a visa), claim any checked luggage, take it out through US Customs, bring your bags up to the Lufthansa check-in counter, and proceed through TSA security.
This document shows the general process. You will go through immigration and customs in a satellite terminal and then ride the train back to the main terminal. You may either bring your bags on the train or use the "courtesy baggage transfer option" to have them sent to a baggage claim in the main terminal for pick up.