Authentication – XP and 2000 use better methods of identifying computers and users for the purpose of security. 95 uses the older, less secure methods. Recent patches to XP have closed the ‘loophole’ of those older methods to protect the system. You will need to go to group policy and allow the older methods.
The reason it works at first is the difference between login and file exchange. The ticket swap for login is less secure and when it times out the better ticket won’t connect. Since 95 (and 98/ME) are now deprecated [out of support] it is highly recommended that you update machines that are exposed to the internet, even through proxies or firewalls. Be safe and good luck.