Please see the Linux+Win95 HOWTO at http://metalab.unc.edu/LDP/HOWTO/mini/Linux+Win95.html.
If you plan on using LILO as your primary bootloader, the instructions should be nearly exactly the same as in "How do I dual boot Windows 9x and Linux?" If you plan on using the NT bootloader, please see the Linux+NT-Loader HOWTO at http://metalab.unc.edu/LDP/HOWTO/mini/Linux+NT-Loader.html.