It's worth pointing out that some versions of Windows 95 very well may require MSCDEX to detect CD-ROM drives, even though by all rights they shouldn't.
I have installed Windows 95 on several computers only to discover that after it reboots for the first time, it needs to install some additional drivers for hardware detected post-installation. One of these happens to be the CD-ROM driver! Paradoxically, Windows is unable to get the drivers it needs from the CD because it has no CD-ROM drivers, even though it was reading from it just moments before, in DOS mode.
Moral of the story? Use OSR 2.5. I'm fairly certain that this problem was fixed by then. Windows does come with MSCDEX, so all you need to do is add the appropriate line to autoexec.bat. It's generally something like "MSCDEX /D:OEMCD001" - replacing OEMCD001 with the appropriate driver name from the driver you loaded in config.sys.