Windows 95, OEM Service Release 2 includes Internet Explorer 3.0, which in turn includes the Windows Internet Extensions API (WinInet).
WinInet provides a set of abstractions, layered over Windows Sockets, which support programming common operations for Internet protocols such as FTP and Gopher.
You can find documentation for WinInet in the ActiveX SDK. You can find the most current information about the ActiveX SDK at http://www.microsoft.com/intdev/.