The file Lemmings_Redux.zip is get corrupted, when I run the Neolemminx installer, and therefore it can't continue the installation.
Can anyone take care about this?
I'll look into it later. Most likely the download link has changed. For now, just unselect that pack.
As suspected, it was an out-of-date link. The link is now fixed. (You don't need to redownload the installer - it obtains the list of links from the NeoLemmix website when run.)