Most likely your dependency files are not setup correctly for your application. There are files that are on the NT machine that are not on the 95 machine. Probably the reason it worked on NT is that the machine already had the needed files for the application that was installed. However the 95 machine was not this fortunate.
When you use the Package and Deployment wizard it should go through and find all the controls and references needed for the application and package them in the setup. You can check the references from the project window to see if you're referencing any 3rd party ActiveX components. If you added any custom controls like Winsock or Common Dialog, these controls need to be packaged as well. This is most likely what was on the NT machine, but not on the 95 machine.
If your application uses database access, then you may have to install MDAC on the 95 machine so you can configure your ODBC DSN's. This is as simple as adding MDAC_TYP.EXE to your installation where you can add files. The setup program will do a silent install for you automatically. However it adds like 7 Meg to the setup. If you're not using ODBC, or MS-Jet, then don't include it.
Hope this helps.