When you install the OSes, make sure that all are installed on bootable partitions. I installed both Windows 95 and Windows NT on Fat 16 partitions, so this procedure works on Fat 16 drives. If you decide to use Fat32 for Windows 95 and NTFS for Windows NT, check to see if your version of Linux supports them and, if so, to what extent.
Install Windows 95 on your first drive. This will be your C: drive. Remember to create the Windows 95 boot floppies when prompted to do so.
I have found that it is better if the Linux drive is removed from the system when installing Windows 95, so that it is never detected and it doesn't exist as far as Windows 95 is concerned.
At this point, if you did everything correctly, you should be able to boot Windows 95.
Install Windows NT 4.0 on your second drive. When you create the partition on this drive, make the partition bootable. Not all versions of Linux support NTFS, so I created a FAT16 partition, just to be on the safe side and because I wanted to exchange data between the Windows drives.
When Windows NT installs, it will detect the presence of Windows 95 and will create an entry for it in the NT OS loader and you should see three entries in the OS loader menu as follows:
Windows NT Workstation Version 4.00
Windows NT Workstation Version 4.00 [VGA mode]
Microsoft Windows
At this point, if you did everything correctly, you should be able to multiboot to Windows NT and Windows 95.
Install Linux on your third drive. When I installed Linux, I only had Windows 95 installed so I only added the Windows 95 partition to Lilo. You can go ahead and install all OSes while installing LILO, or edit the Lilo configuration file later. However you decide to do it, I will show you how the /etc/lilo.conf file is supposed to look in the next section. Once Linux is installed, you should be able to boot to Linux.