At least one possible cause is faulty RAM:
http://support.microsoft.com/default.aspx?scid=kb;en-us;138788

If this is a clean install on hardware that hasn't previously run Windows
95, it's possible something went wrong with the install and you simply need
to start over and do it again. If this is from a fairly old CD, try booting
with a Win98 startup diskette that will give you CD access, and copying the
CD over to the hard drive first, then installing from there.

It's also possible that there are hardware problems such as the RAM issue
mentioned above or, even more likely, there is a driver issue. 0D errors are
pretty general. Of the many types of Fatal Exception Errors, a Fatal
Exception Error 0D is a "General Protection Fault." A program has been
corrupted in memory. Most often, it is caused by outdated or damaged video
drivers, outdated multimedia software, or physically damaged RAM. However,
these are not the only causes. Unfortunately, sometimes it can be obscure
because any fatal exception condition not covered by any of the other 17
processor exception categories will be called a general protection fault.
The specific scenario and specific error message references should be
consulted to help identify the specific problem.

If this error occurs before you get to the Windows desktop, reboot and press
F8 as Windows starts to load to bring up the boot menu. Select the
step-by-step option. Accept each default, but go through slowly enough that
when the error hits, you know what the prior step was. This may show you the
problem.

If it's after the Windows desktop appears, then instead bring up the boot
menu and pick the option to create a boot log. After Windows hangs, go back
in, boot to a DOS system prompt, and use the DOS Edit program or Type
command to view the last few lines of the boot log and see what Windows was
doing when it froze.

--
Jim Eshelman