please follow the given links which will help you.. one of the article is a review article on lipid extraction from microalgae so you will get good information regarding your doubt.
We used following method in "1Yazıcı Z., Aysel V., Öksüz E., Köse A., Cumalı S., Güven K.C. Fatty acid composition of marine macroalgae from the Black Sea and Dardanelles. Toxicological & Environmental Chemistry, 89(2): 371-379, 2007. DOI:10.1080/02772240601012366)
Freshly collected algae were thoroughly cleaned with seawater followed by running tap water to remove adhering particulate matter and epiphytes. The material was dried to constant weight and then pulverised. Accurately weighted portion of each sample was homogenised in cold 154mM NaCl. Total lipids and added internal standard (100 mg nonadecanoic acid in chloroform, Sigma Chemical Co., St Louis) were extracted with chloroform/methanol (2 : 1). The chloroform phase was removed and evaporated to dryness under a stream of nitrogen. Total lipids were saponified with 2% KOH in methanol and the FAs methylated with 14% BF3 in methanol. The resulting FA methyl esters (FAMEs) were extracted with hexane and analysed by capillary gas chromatography.
I usually start from frozen pellet, remove all water, and then continue with a single step extraction as described in this paper (see attachment). But I know you can start from dry or lyophilized biomass as well.