Try resetting the icons cache. I don't remember the actual procedure, but it can be googled up easily.

Never did get this fixed. It looks like it wasn't standard on Win95, but something that came with IE. It uses sendmail.dll to perform the action.

So, first machine - link was there but its icon was missing. Found that a registry entry was missing. This fixed the icon, but it still doesn't work.
2nd machine - link was entirely missing - copied over the link from the first machine, then copied over all relevant registry entries, but still doesn't work.
3rd machine - link was there with the icon, but it does nothing.

On the 2nd machine I downloaded and installed Windows 95 Powertoys - this gave more SendTo shortcuts, and they all worked. But the original problem now gave an error, saying that a CMC Mail client wasn't present. I googled CMC Mail but no finds on what it could be, let alone what makes it so important. (Why is Google so useless these days??)

So, I have to assume that it never worked on Windows 95. It does work on my main Win98SE machine though, so they must have fixed it by then.

How did you install Win95B?

I didn't. The drives are 2nd-hand from old machines. All I've done is install video/sound/network drivers to get them to run on my test hardware (Compaq EN series C500).

a better assumption is it just never worked with those windows installs you found on some old hard drives, and If you want things to work the right way somtimes youll need to do clean installs. One thing you might be right about is that it doesn't work out of the box, but I'm certain it can be made to work with a clean install and powertoys or IE4 shell.