Enter the Lemmings directory and edit the file LEMMINGS.INI. Now go to the bottom of the file and enter the line CHEAT=1. Start the game and choose the OPTIONS menu to enable the cheat codes.

At the main menu, click on the hole in the botton left corner (on the tree.)

At the main menu (map, load, play, etc.), click on the dot above the 'i' in "Lemmings." This causes the lemmings to show word bubbles when they speak.