Bonk01: Yep, you select Windows and then choose any versions you want! It only shows the languages of the websites (or where they are made). Anyway, it doesn't matter!
AstralLemming: Mmhh... First, specify in Dosbox.conf the configuration of the sound card you want. Then, try to mount the drive without setting the complete way. Write (for example if the game is inside the folder C:\Lem3D):
mount c c:\
c:
cd Lem3D
setup.exe
It should help. In the setup program, try to specify correctly the place where the game is installed and the sound card you choosed. There's probably a place where there's an auto-configuration of your sound card, I don't remember... it there's one, use it. Then, it is supposed that there's "Save And Quit", something like this. Press on it to save the changes (it is supposed to). Then, run the game and see... huh... hear!
The sound isn't good anyway, all Lemmings voices are speaking too fast! The game is a little bit fast too.