When I used to run 95, when it was 1995/6 I had tried out a firewall called "ConSeal PC", and it worked OK.
in a couple days I will be building another win95 box, so I might have the chance to test different, older firewalls on it.
another older product that might be ok to use is called "Black Ice Defender", and another was "E-Safe Protect." As far as I can tell tthe ConSeal PC was bought out by McAfee, so it is no longer made.
You might want to get an older copy of Tiny Personal Firewall, or Kerio PF. I do have older versions of both, I just have not gotten around to seeing which works well on a 95 box yet.
http://blackice.iss.net/
--say Hello to Tubbs for me.