Windows 95 still borrowed a lot of code from MS-DOS, though. That's why you could still exit to the command prompt. I think you could do that through WinME.
https://guidebookgallery.org/pics/gui/startupshutdown/shutdo...
1. Reboot the computer in DOS mode.
2. Change to Windows directory.
3. Delete the .pwl file for a user.
4. Reboot back into Windows 95.
5. Enter a new password in what was once a login screen asking for the old one.
Simpler times for hackers back then. :)