Windows for Workgroups 3.1 (1992 release) was Microsoft's first operating system where the fact that the computer was intended to connect to a network was front and center. Maybe Microsoft didn't see the internet as a logical imperative at this early stage of computing.
They famously made a quick u-turn after Netscape Navigator became massively popular, and Windows 98 was much more internet-focused.
http://en.wikipedia.org/wiki/MSN#MSN_Classic
MSN was originally conceived as a dial-up online content provider like America Online, supplying proprietary content through an artificial folder-like interface integrated into Windows 95's Windows Explorer
http://www.internet-story.com/microsoft.htm
Bill Gates almost missed the opportunity provided by Internet. At one time, he even considered it to be merely a passing fad. However, once Microsoft had realised Internet’s potential, the company not only rapidly caught up but overtook its competitors