They probably are just saying that so they don't have to support other operating system differences when people call in saying that they can't access the internet anymore. Of course, that would be silly, since there a few differences in networking within the 9x family.
But they might be providing a USB modem for which there are no 95 drivers... If that is the case, just make sure you're connecting through a CAT-5 NIC instead of ethernet over USB... They should have that option.
Also, they might be trying to install management software on the users' PCs. This is not at all necessary for it to function properly, but then they don't have the ability to control your machine remotely, or pop up ads there, or collect usage information...
These are all common issues I've seen with providers here in the states. There may even be more out there, but I just haven't come across them yet.
One of my favorite claims is when the service provider tells me I have to have Windows XP, 2000, or ME - or MAC. I tell them I have a Linux box and they say they can't support it. I then tell them that it's been running just fine for the past 1.5 years...
So they make me switch the inbound line over to a windows machine to test with it. I usually just lie to them and tell them I've tried the troubleshooting and it's still not getting a signal. [Like adding DNS entries in Windows is gonna help the light on the external modem come on...] Ok, I'm done ranting.