Hi df,
I've assumed you downloaded the NL player from here:
https://www.neolemmix.com/?page=neolemmixI've attached screenshots of my NL directory so that you can see what it needs to be to work
Here's what your folder should look like when you extract the contents of the NL download from the website I linked to above:
Here, the reason for the "second" in the folder name is because I already have a directory called NeoLemmix_V12.12.5 on my computer. You can of course name the folder just NeoLemmix_V12.12.5 or whatever you like. This is just an example.
Now here's what the levels folder should look like when you extract the example of NepsterLems mentioned in the posts above:
Before I took the NepsterLems folder of the pack download and extracted to the "levels" folder, there was only Lemmings Redux and the NL Intro Pack, since NL downloads now ship with both of those packs. Now you can see I have 3 level packs in the "levels" folder, after I extracted the NepsterLems pack to it.
Hope this helps! Let us know if you need further assistance.