Lemmings - You'll need to switch to the new item that you've picked up. To navigate the menu, press the L1 and R1 buttons. L1 will move your selection to the left, R1 to the right. You should only have to press R1 once to select the umbrella picture. Now use your analog stick to select each lemming and press X to use this new ability on them. You'll see each one carrying an umbrella after using it.