Yes, mammals have do lungs. It's actually one of the defining shared characteristics of the mammal, that they have lungs to breathe air. Other shared features are the presence of mammary glands, a vertebrae (back bone) and being warm blooded.
We tend to just think of mammals as being human beings and land dwelling four legged animals, but this is not the case. There are a few animals which you might be surprised to hear are categorised as mammals...
The platypus. Many people do not realise that the platypus is a mammal as it is one of only a few mammals which lay eggs rather than giving birth to live young. It also has a bill which is similar to that of a duck, but is actually shares more features with that of an otter or beaver.
It is also the only mammal aside from dolphins, who has the ability of electroreception- which sounds a bit like a super power, but is actually the ability to sense the naturally occurring electric fields given off by their prey.
