Turns-out that the issue described by vielflieger is, according to Micro$oft, a known bug. Therefore, from this point on, KVS Tool Setup will not be installing any system-critical files.

A new version of the setup is already available for download.

If you [still] use Windows 95/98, then you should download and install one of the following packages, downloadable from the Micro$oft's website, before running the KVS Tool Setup:

Win95: http://www.microsoft.com/com/dcom/dcom95/download.asp
Win98: http://www.microsoft.com/com/dcom/dcom98/download.asp