|You have listed nothing about the system specs.|
Make sure the HDD is jumpered as master & is on the primary IDE channel, preferrably without any other drives connected to the cable. If the CD drive (or another HDD) is also connected to the same cable, it must be jumpered as slave.
I assume you know how to use the boot floppy? Select "without CD-ROM support", then run FDISK from the A:\> prompt. Delete all current partitions, then create one (or more) new ones. Make the 1st one active. Reboot, select "without CD-ROM support" again, then type FORMAT C:
After the formatting is complete, reboot again but this time select "with CD-ROM support" & watch the screen to see which letter is assigned to the CD drive. Pop the Win95 CD in the drive, change from A:\ to whichever letter was assigned to the CD drive, then type SETUP & press ENTER.