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To directly select in the LemmixPlayer and LemmixPLayerOhNo, do the following steps:
1) Press the second button or F2 on the main menu. A password menu should appear.
2) Enter "CHEATCODES" and press return. At the bottom of the screen, there should appear something like "Cheatcodes enabled". You only have to do this once.
Alternatively you can open the corresponding .ini file (in a text editor) and replace the line "CheatCodesEnabled=0" by "CheatCodesEnabled=1".
3) Enter as a password [rank name][level number], so e.g. "FUN23" or "WICKED7". This directly selects levels.
However I recommend getting the original lemmings and ONML as NeoLemmix packs. This allows you to use all the new features added to NeoLemmix.
Here are the download links to these packs.