|"While initializing device IOS: Windows protection error. You need to restart your computer."|
Sounds like you have an AMD processor. If so:
Nevertheless, I agree with DAVE; if you're having this many problems, it would be better to find a older machine that's more suitable for Windows 95. A 16 year-old OS wasn't designed around modern equipment. The game (which you haven't described) that you're attempting to get going could also have problems with your current hardware as well...
"Channeling the spirit of jboy..."