The 27-year-old was attending her first ever Sundance Film Festival where a variety of stars have made an appearance over the last few days.
"I've never had the honour of coming here before ... to bring something to the table, which is starting fresh for me," said Lohan.
"And I'm filming my Oprah docu-series right now, so I get to show that to the people who have been watching that as well."
Lohan has been in rehab three times over the last few years and has had a number of legal problems.
Her Hollywood career has taken a downturn and her role as Elizabeth Taylor in the TV biopic Liz & Dick last year was slated by critics.
She said filming for Inconceivable would begin in March, adding: "It's a nice change to be back among people that are in the industry that I've been in since I was a kid."
The film's producer and financier Randall Emmett called Lohan "one of the greatest young actresses of her generation".
Meanwhile, Anne Hathaway denied at the festival that she had to be rescued from the sea after being caught in a riptide while on holiday in Hawaii.
Photos appeared to show the Oscar-winner in trouble, but the actress said: "I'm fine. ... I really do appreciate everybody's concern, but that was a picture that had a false story attached to it. The real story is not as interesting."
Hathaway stars in Song One as a woman estranged from her family but returns home when her brother is in a serious accident. While she deals with her emotions as her brother is in a coma, she explores the Brooklyn music scene.
She sings in the film and says it was far less pressure than when she had to sing I Dreamed A Dream for Les Miserables.
"It wasn't as much pressure because my character is not a singer, a musician anything, so there is no pressure to, I don't know - to please the fans of the music I guess," she said.
(c) Sky News 2014
Original headline: Lindsay Lohan Reveals New Film At Sundance
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