Ok. I have some more questions about your setup:
Can you send me the *.DAT files from the lemmings folder of your SD card please (SAVEGAME.DAT and CACHE*.DAT)? Maybe by private message.
Which levels are installed? (ORIG, ORIG_DEMO, ONML, ONML_DEMO, XMAS91, XMAS92, HOLIDAY93, HOLIDAY93_DEMO...