When you download the Win95 files, extract them somewhere on your computer. For the Windows 95 path, find where you have the files extracted. For Destination path, you select where you want your Lemmini directory to be at. For my setup, I have the Win95 files in C:\winlemm\winlemm, so for the Win95 path it's C:\winlemm\winlemm. For the destination, I had everything setup in C:\winlemm, since I wanted everything to pretty much be in the same place.
Hope this helps.