There's another thing that I wanted to explain about this situation as well. You don't lose weight on with this particular arrangement of weight lifting while on a high protein, moderate fat, low carbohydrate diet. In fact, your weight remains remarkably constant.
What changes however, is your body composition. Muscle is forced to grow, because of the strain from lifting and the high protein content of the diet. Fat is forced to break down because your body needs to keep blood glucose levels above a certain minimum, and you aren't eating anything the body can convert to blood glucose.
Muscle is more dense than fat, so as this process occurs, you become thinner - but not lighter. It's OK though because if you added 10 lbs of muscle and simultaneously lost 10 lbs of fat, you are better off, even if the bathroom scale says everything is the same. You are changing your composition, not your weight.
From what I have read, the first body fat to be broken down is in the muscle tissue. In a steak it would be considered "marbling". Once that is down to a minimum, the subcutaneous (under the skin) fat is next, followed by "visceral" fat, which resides inside the body, around the vital organs.
What I have noticed is that the extremities show loss of fat first, probably because there wasn't as much fat there to begin with. My forearms and calves are showing a bit of definition, and the upper arms and thighs appear to be following suit more slowly. My gut is quite a bit smaller as well although it's still noticeable. However I think it will be a long long time before I see abdominal muscles again :) The process is not fast.
There are a couple of myths for fat burning and weight training, and you can read an excellent rebuttal to those myths here.