There is actually a surplus of umbrellas behind the wooden moon that, once collected, can be used to save the remaining three lemmings. You have to get there quick though, so try seperating the lemmings into two groups and assign them their own dimensions. Use the '>>' control to increase the speed at which time moves forward in the former dimension, and use the 'paws' control to stop those lemmings in the latter dimension, creating a Bernard's Watch style scenario.