Jane,
To add to Ed's reply...
I'm going to guess that Microsoft wrote SQL Server to run on NT because, at the time, NT was running on multiple hardware platforms: Intel, PowerPC, Alpha, and MIPS.
There are two editions of SQL Server that will run on the Win 9x platform: Desktop and MSDE.
The downside:
According to the license agreement, you must have a standard, enterprise, or small business server edition of SQL Server installed to install Desktop.
MSDE on the other hand is distributable as long as you own Visual Studio or Office 2000 Developer - or whatever MS calls that thing.
-Mike