This is a simple NO UMD FiX by pSyPSP:
1) Extract Lemmings_EUR_PSP-pSyPSP to a folder on your PC using iSOBuster or similar utility.
2) From your original PSP_GAME folder move the following to the LEMMINGS folder from this pack: ICON0.PNG, PARAM.SFO, PIC1.PNG, and SND0.AT3.
3) Now move the USRDIR from your original to the LEMMINGS folder from this pack.
This version fully works and has sound- enjoy!
NOTE: Although this is labeled a "NO UMD" release, that just means you don't need the actual Lemmings UMD in the drive to play the game, however, you will need a UMD in the drive to run it (any UMD game should work).