It's when I'm playing a level and then later it will crash. I was playing one of Insane Steve's levels (ISteve10) "The Decent Descent". His pack is not to blame because this also happened when I was playing someone else's pack on a certain level.
Actually, there are some common errors that you may run across in several different people's levels, so I won't be so fast to say the level is not to blame.
In the case of "The Decent Descent", I noticed that interactive object index 14 is not fully within the boundaries of the level area. While not always the case, it is known that certain cases of interactive objects and steel areas not being fully within bounds of the level area may cause Customized Lemmings to crash. It would be interesting to see if you are able to make the crash go away by editing the level in LemEdit, changing object index 14's position to y=0 instead of y=-1. (It's the topmost spike trap object.)
In any case, Windows XP's DOS emulation simply isn't that great, especially for DOS games. If you're hitting numerous crashes using Window's DOS emulation across multiple levels, perhaps it's a sign that it's time to try
DOSBox instead.
This post of mine is a quick primer on how to use DOSBox to run DOS games. The post was written for Lemmings 2, but is easily adapted to other DOS Lemmings games as well. That's not to say that the same crashes won't happen in DOSBox on those levels (eg. my theory about your crash is really about a known bug in the game, as opposed to an emulation bug in Window's DOS emulator or DOSBox's emulation), but just in case it is not a level-specific crash but a more general crash related to Window's crappy DOS emulation, DOSBox may be the way to go for you.