Actually, no, Win95 and 98 still required DOS underneath, although once they were running they largely ignored it. Try starting a Win95 system without IO.SYS, MSDOS.SYS, CONFIG.SYS, and AUTOEXEC.BAT and you'll see what I mean.
The "NT" branch of Windows (which gave us NT4, Win2000, XP, and the rest) was the first true Windows OS family that was independent of MS-DOS.
Those were system files that were installed during W95 setup, so they were basically integrated into the OS. The older versions of Windows had to be installed separately from the DOS install.