Which protocol to use ?

Windows 95/98 and NT4 are delivered with 3 network protocols:

The "IPX/SPX-protocol" was developed by NOVELL for the use with the NOVELL-Netware servers. It is a very fast protocol, can be routed (in large configurations and is usually used on connecting a Windows95 system to a NOVELL-server. IMPORTANT: there are different FRAME-types (see IPX/SPX basics and The IPX Frame Trap for more details).

"NetBEUI" was developed by Microsoft for their Workgroup-Networking (remember: Windows 3.11 for Workgroups ? Windows NT 3.1/3.51 Servers?)
I do not know, whether there was a technical reason for NOT using IPX, but I think, that at that time in the "stone-age of networking" ( which is just 15 years ago) each company had to make their own proprietary protocols, nobody was talking at that time on "inter-connectivity", that came a lot later.
NetBEUI is also a very fast protocol and is suggested by Microsoft for Win95-to-Win95 and for Windows95-to-NT-Server connections.
And it is simple: There is (almost ) nothing to be configured:

(Under Windows NT4, there is NOTHING to configure for NetBEUI, the button Properties is grayed out !)

And then, there is "TCP/IP": I am not going to bother you with the full history of the DoD,Arpanet,..., but: TCP/IP was developed for use on a wide-area-network (WAN), while IPX/SPX and NetBEUI were developed for local-area-networks. As a result, IPX/SPX and NetBEUI are a lot faster on an Ethernet cable than TCP/IP, while TCP/IP allows you to connect to systems on the other side of the world, which is impossible with NetBEUI.
TCP/IP is much more complicated to setup/configure (IP-address, subnet-mask, gateway, DNS, DHCP, WINS,.....):

My suggestion: For a direct Ethernet PC-to-PC connection: use NetBEUI, because it is fast and very simple to setup/configure, unless you have a good reason to choose either IPX/SPX (example: to allow play games via IPX-communication) or TCP/IP.