There is a bug in Doom95 which prevents demo recording: as soon as you get into the game, Doom95 dumps you back to the desktop with an "I_Error says: demo recorded". I hax0red Doom95's doomlnch.dll and now demo recording works as it is supposed to.
doomlnch.dll that comes with Doom95
Disc Sector Editor by David Stang
Incompatible with zDoom (doh) The fix doesn't affect gameplay in any way that I am aware of (extensively tested since 1998). Email me if it does.