How can I install DirectX 8.1 on Win 95 ?

Looks like you just can't.
As written here (http://www.microsoft.com/downloads/details.aspx?FamilyID=4846c891-d45d-4122-8230-69f3e5ecdede&displaylang=en) :
DirectX 8.1 will not run on Windows 95.
Seems like the latest DirectX usable under Windows 95 is 8.0a, which you may download from here (http://www.microsoft.com/downloads/details.aspx?FamilyID=746f9e61-98f4-491d-8335-27fac7d46258&DisplayLang=en).
(there is also some kind of 8.0b upgrade for developpers here (http://www.microsoft.com/downloads/details.aspx?FamilyID=fc60231e-895d-489d-b796-e0fcac82b553&DisplayLang=en)).

If you really need DirectX 8.1 or 9.0c, maybe you should consider upgrading to a more recent Windows version ... (DX 9.0c works with W98).

THANKS for your help :) !