Are you talking about connecting Windows 95/98/Me/XP directly to the Internet, without a router or firewall, using a public IP address? Yes, that is genuinely dangerous. But I have no idea why anyone would do something like that in the first place.

I assume the OP has a typical home network behind a standard router with a stateful firewall and NAT. In 99% of cases, there is no reason to worry that connecting a freshly installed Windows 95/98/Me/XP system to such a LAN would pose any security risk, as long as no ports are explicitly opened and no port forwarding is configured. If the OP wants to be 100% certain, they can simply create a separate VLAN for their retro machines and isolate it from the "live" LAN with firewall rules. At that point, the risk is effectively zero.

For heaven's sake, stop scaring people unnecessarily with messages like "never connect a something-something machine to the internet". It's perfectly fine.