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In the case of sons of a duke or marquess, who by courtesy have "Lord" prefixed to their given and family name, the wife is known by the husband's given and family name with "Lady" prefixed, e.g. The Lady John Smith; the daughters of dukes, marquesses and earls are by courtesy Ladies; here that title is prefixed to the given and family name of the lady, e.g. The Lady Jane Smith, and this is preserved if the lady marries a commoner, e.g. Mr John and The Lady Jane Smith. The predicate 'The' should be used prior to "Lady" or "Lord" in all cases except after a divorce for women who do not hold the courtesy title of "Lady" in their own right, e.g. Heather, Lady McCartney or Jane, Lady Smith as the ex-wife of The Lord John Smith.


Source from : http://en.wikipedia.org/wiki