Let me point out that the question and answer are from the 2005 movie adaptation.
It looks like the lightning itself is a way to:
a) make a hole in the ground
b) serve to carry / guide a capsule into that hole (and presumably into the tripod)
The tripods were already in the ground. (There is not an explanation of how long there tripods were buried, how they first got here, or how they escaped detection.)
The lightning first opens up a hole in the ground, and then carries the capsule down. It looks like the capsule changes size as it moves down the "lightning" bolt, but when the holes in the ground are first shown (before the tripod rises), they seem about the same size as the capsule, so it's likely that they never actually change size, and is merely an optical illusion.
As user13095 said, there are two explanations. One, when Ray (dad) is driving away from the first tripod, he mentions that the pods were underground. The other is when he stops outside his ex-wife's home, and meets the camera crew. There, they show the capsule inside the lightning in slow-mo (one tape).