WS2_32.DLL.Plink requires the extended Windows network library, WinSock version 2. This is installed as standard on Windows 98 and above, and on Windows NT, and even on later versions of Windows 95; but early Win95 installations don't have it.
In order to use Plink on these systems, you will need to download the WinSock 2 upgrade:
http://www.microsoft.com/windows95/downloads/contents/
wuadmintools/s_wunetworkingtools/w95sockets2/