What program is it?
MDAC, is "Microsoft Data Access Components", this is used for databases. It has nothing to do with the base OS, in this case Windows 95. If your trying to install a database program, such as MSSQL Server, this component would be installed when you install the SQL Server. But if the program wont run on 95, i dont see how adding a database component will change that fact.
If the error message said you needed the MDAC installed. then install it.
If you trying to set up an MSSQL server, did you look into MySQL, which works well on Windows, and is also FREE.
One of the easiest way for you to figure this out is to try it yourself. If it works, it works, if it does not then it doesn't.