cygwin works in windows 95, but may not support enough features to get postgresql up and running.
Since I gave up on that OS as anything but a game platform long ago, I've not tried cygwin/postgresql on 95.
I would probably go with mySQL on windows (anything) rather than trying to get postgresql running under cygwin, or just jump ship to linux/bsd if I were seb.
MSSQL is a good choice for NT/W2K boxen too, especially if you're doing more advanced stuff than what mySQL was built for.