Oh, yeah, the destination folder can and should also have everything else in superlemmini.zip as well as the batch file; sorry about that.
If you can't use Windows Explorer to create a new text file where SuperLemmini is installed (without creating it elsewhere first), where do you have SuperLemmini installed? Do tell me, even if it doesn't seem like a big deal; I'm asking because you might have installed SuperLemmini to a protected folder (such as anywhere within Program Files or Program Files (x86)), which I strongly recommend you avoid doing.
Also, the Windows Lemmings folder is usually WINLEMM (one N), not WINNLEMM. ("WINLEMM", of course, stands for "Windows Lemmings".)