|I realize this was posted years ago, but I recently got the mystery screensaver working on Windows 7.|
The files you need are:
The DLL files are located in CAB3 of the Microsoft 95 PLUS! folder called PLUS. They all need to be in the same folder, or placed in your system32 folder.
I can't post links to the 95 PLUS! Iso files, but google can help you OR you can purchase the cd off amazon/ebay for 5 bucks. Good luck!