I recently got a June Test Release copy of Windows 95 off ebay and both my Special Edition copy of 95 and that one, as well as a Windows 95 with Plus CD I have all lack a lot of Windows 95 promo stuff I find on RU-vid (including this one, which I've only seen with minor variations in visuals and African styled music). There's a lot of promos that are only on certain versions of 95, it's weird. Here's a link to the music used in this btw: ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-96CKGE1r7Nw.html
It wasn't in the OS but rather in the Windows 95 Companion CD. It also included other videos such as movie trailer of Rob Roy and two music videos of Weezer on Happy Days and a real music video of Edie Brickell singing Good Times. There were also three other short Windows 95 artistic videos which are very nice to look at.