Spybot - Search & Destroy 1.4 was incompatible to Windows 95; the following updates are usually the cause of incompatibility for version 1.3 or earlier and version 1.5 and later (all following links are online links):

• HTML Help 1.3
  If you receive the message "Error message: HHCTRL.OCX is missing", you are probably using an old version of Internet Explorer, thus the needed HTML help components are not installed.
• Winsock2
  If you receive the message "Error message: WS2_32.DLL is missing", you need this Winsock update for Windows 95. More information is available in Microsofts knowledgebase.
• Active Accessibility 1.3
  Spybot-S&D tries to support solutions for disabled people, so you need to install the Active Accessibility runtime package if you receive complains about problems in oleacc.dll.
• Common Controls
  Spybot-S&D might also need this update if things are not probably displayed or you receive messages about other missign functions..

We recommend these updates to any Windows 95 anyway, and might include an option to download and installing missing updates in the installer of Spybot-S&D 1.5. Meanwhile, you can also download an all-in-one installer for the required updates here.