Hi SFBrains, welcome to the forums!
There are a number of options for playing Lemmings on a Windows PC, the ones I recommend are:
SuperLemminiToo - a clone closely modelled on Windows 95 and Amiga lemmings, but with some more modern QOL interface features such as Fast-Forward and Replay saving. You can play all of the original games on this port, and I'd particularly recommend it if you're looking for something that's closest to the classic way of playing.
NeoLemmix - a much more modern Lemmings clone with many QOL features which make the game much easier to play. This is the most popular clone on the forums, and comes with a dedicated level editor for making and sharing levels. Again, all original games are available for this port; I'd recommend it if you're looking for a more modern way to play lemmings.
Other than this, I'd probably go with an emulator for the platform of your choice. Most of the classic ports such as Amiga, Apple Mac, SNES, Genesis, etc can all be emulated nowadays and Lemmings is available for all of them.