I'm afraid both "Lemmings" and "Oh No! More Lemmings" in this website are missing graphic modes. In "Lemmings" this is fixed by the "alternate version" download, but there's none for ONML. I've found this different version in another website and de-protected it with Locksmith, it should work fine:
Code:
http://www110.zippyshare.com/v/5qhBBfxz/file.html
Can anyone test it more thoroughly?