Your probably using IE 5, but when Windows 95 was originally installed, you had no IE or IE3.xx.
If you install IE 4.01SP2 and add the Active Desktop is installed, there will be that option you want. You can then upgrade to IE 5.5 SP2.
Basically, if your taskbar lets you have a toolbar then you have active desktop installed on Windows 95. If that is so and your desktop icon is not there, you can create one:
http://pcin.net/help/articles/desktopshortcut.php
Did you know that Show Desktop is actually a script (technically Microsoft refers to it as a Windows Explorer Command)? If your Show Desktop item has been deleted, you can re-create the script quite easily. Or perhaps you'd like to create a Show Desktop item in a different folder. Simply follow these steps:
Use Notepad to create a text file with the following contents:
[Shell]
Command=2
IconFile=explorer.exe,3
[Taskbar]
Command=ToggleDesktop
Save the file as Show Desktop.scf. (You can name it something else if you prefer, but make sure you use the .scf file extension.)
You can save the file where you want, and then create a shortcut on your Quick Launch toolbar.
You will also need to make sure that the SCF file extension is set up properly in Windows. The settings should be as follows:
