Ok, I just completed the game, so I thought I'd help everyone else trying to figure out The Machine.
You need to go right in the space invaders screen, like someone already said. To get there, go up in the first screen, take the first exit on the left in the lemmings screen, then right in the screen with the guy who looks like Duke Nukem. This'll take you to the space invader screen; now just pass the invaders and go down.
If you run short on lives, rather than start over (the first screen is the hardest of them all), head for the pinball screen (down from the Duke screen and left). You can get as many lives here as you want.
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