Here is the bad news direct from MS:

Manually Upgrading from Windows 95 to Windows NT Workstation 4.0

Windows NT Workstation version 4.0 will not include an automated upgrade path from the Windows 95
operating system. Customers interested in manually upgrading from Windows 95 to Windows NT Workstation
4.0 should follow these steps:

1.Check to see if all Windows 95 devices and applications are supported by Windows NT Workstation
4.0.
2.Install Windows NT Workstation 4.0 into a separate directory, creating a "dual boot" system.
3.Re-install all applications (to the same directory if upgrading; to a different directory if dual booting).
4.(optional) Manually delete the Windows 95 directory.