Yes - from what I recall there was not even a pretense of security. Everything was just unencrypted FAT (VFAT rather than FAT32) and if you logged in as one user all other user's data was clearly visible - it was just a means to have your own user workspace and customisations applied. Windows 95 and everything up to (not including) XP was a toy OS for home users ... If you wanted "grown up" features you had to go for NT.
I think that if you hit Cancel there it would work just as well. You wouldn't get it logged into the domain though