I made a crystal level and when the Lemmings reach the exit, they don't go inside. I even tried moving it around a little and they still won't go in.
If you have over 16 objects new objects won't register as being objects and nothing will happen with it. If you have over 16 objects then added the exit it won't register as being an object so the lemmings will just walk past it. If you don't have over 16 objects check the trigger area and make sure the exits trigger area is at least 1 pixel below the ground.
Hope that helps!
The crystal level only has 9 objects and my Egypt level has 24 objects with a working exit. I'm gonna try moving it around more. The exit is touching the ground though.

The green is right. (made in 30 seconds

) If you look closely the trigger area is 2 pixels underground.
That's right. Due to the way triggers work in PC Lemmings, they basically need to be into the ground to be effective, not merely touching.
It's fixed now and the level is finished. Now how do I shrink the size of a level and remove the empty black spaces? This was the reason why I made that castle in my Egypt level because that space was empty.
Why would you want to do that? Blank areas don't look
that bad. There's no need to fill out the whole map with terrain - most of the original levels don't. IMO that's just making extra work for yourself

The green is right. (made in 30 seconds
) If you look closely the trigger area is 2 pixels underground.
Heh, pretty good for a 30-second job. Nice one
I was feeling too lazy to fill it up when I typed that because I trying to be creative and come up with something to put there. It's filled up now because I finally came up with something and it didn't took me long. In the PSP Lemmings, when you play a level you made, the empty spaces will not be shown unless there's at least one terrain there.
Yeah, PC Lemmings does not provide a way to shrink the level area size, so either leave it blank or fill it up with decorations. Many of the official levels from the game do fill the area out with elaborate decorative terrain, but there are also levels (eg. Fun 11 "Keep your Hair on Mr. Lemming", which fits within one screen if shrunk down) that totally leave in vast swaths of blackness.