"PC Security"... developed by Tropical Software, is a popular file-locking application that offers several levels of protection ranging from locking files and restricting access to Control Panel, to removing the Run command from the Windows 95 Start menu and disabling the DOS prompt.
You can create user policies with policy manager (it's on the Win95 Cd in admin/apptools/poledit. You have to install it using add/remove programs/ have disk) in win95 then save the file as config.pol and copy it to the netlogon area on your NT4 server. Do not create the policies on NT or they will be NT policies and not work on 95. Its easy to use, just create a new user with the same name as the user logon to NT and use the check boxes to restrict (or grant) access. a grey box means leave setting alone, a clear box means allow this setting and a checked box means enforce this setting. If you set a user with restrictions you must ensure that the administrator (or yourself) has the corresponding box clear, otherwise you will suffer the same restrictions as the user. Hope that's clear enough. We use them quite a lot here at work and they work fine.