All SMS devices to which you wish to advertise a sofware package should have hardware and software that is compatible with the package you are advertising.
This means that when you are developing the package you'll need to concern yourself with the assumed initial state of the device and the desired post-package state. A product such as SMS Installer (and some reference material) helps you in doing this. Keep in mind whether your package needs a particular version of (for example) MDAC, MS Office, Internet Explorer, etc. Test test test when complete.
While a package may work for W95, NT4 and XP, there may be requirements in how it is advertised to the devices. For example, W95 devices may require a user to be logged in (if non-SMS network access is required these devices cannot use the software installation account) while NT devices can have rights elevated. The package would need two separate advertisements and collections (one for W9x; one for NT4, W2K and XP).