You may want to start with Peegue's section, because it's the hardest one and easiest to mess up.
But if you want to really start, begin with Loof's maze.
A (really) rough plan on what you have to do:
SPOILER ALERT!
1) Stinky must make a steel box to circulate on the ice to "bounce" off it while exiting the green teleporter. To do that, search for fake walls.
2) In Loof's Maze I suggest you to play with sound on and to listen carefully to find out where the box is. Once you did that, draw the rest of the map. From that you can easily figure out how to get the wooden box to the water to save the upper stinker. It really is not as hard as it looks.
3) For the ice, you will have to put three boxes in the water yourself, which I don't remember how to do, and I don't have the game on my hard drive currently... But after that, I remember it. From the third-box-in-the-water, go right. After you've pushed off this box, wait a millisecond, and go up.
To get out from the behind of the top box, bring another character and quick fingers in this area.
4) In Peegue's part you will need to use a reflector to stop a boulder to pack three boulders in the corner and two in the water. Then, use one reflector twice during one shot to kill a coily. You will need to reuse this trick, so don't pack the boulders at the left.

UFO can be destroyed using the absolutely similar approach. Then get one reflector out of the UFO area. Push the box near the stinker one step up, and shoot it like you shot the coily.
5) Stinky, Loof and Qookie (all three of them) will need to go in button maze. At the end of the maze there is a timer button, which will turn off one of the conveyors, allowing you to free Peegue.
To get out of the button maze, all four characters are a must.
6) Now you can get everyone through a purple teleporter and build a bridge.
Good luck!