To install Windows 95, unzip all 20 files into a single directory on your
hard drive.  Make sure you've got lots of space to fiddle with.

In addition to 20 files, CHICAGO.001-20, you will have an executable called
'CARVE'.  Simply type 'carve /j chicago' from within DOS, and these files
will be merged into a single .zip file.  I'm not sure if it will have the
.zip extension.  If it does not, simply do a rename.  After this, just
unzip this file into the directory of your choice. 

Voila!  Now just run setup from windows, and you're in.

Enjoy...
