"Chicago" is the codename for the OS release that eventually became Windows 95. It is interesting in that it is really the first time (and some would argue the only time) Microsoft ever invested any real R&D efforts into Windows.

As of this writing, build 58s is the oldest known build of Chicago to still exist, and it is extremely primitive compared to later builds. I did previously have some screen shots up of a "build 56" but that turned out not to be real. Oh well.

Here is the installer, which generally isn't much different from Windows 3.1. You can either overwrite an existing Windows install, or install to a new location (by default C:\CHICAGO).
At the bare minimum you will need MS-DOS 5 and/or Windows 3.1 with some kind of CD-ROM extensions loaded in order to install Chicago.

The Chicago splash screen, completely different from the final release. Build 58s of course is what is considered a Preliminary Test Release, which is a stage of development before Beta testing.

And here is the desktop as soon as you start up.

...if it starts up. Being such an early pre-release there are all manner of weird bugs. I had to clear out a number of glitches and missing files, and even after doing that every folder I opened took nearly a minute to display a window.

On boot-up, the Tracker opens, asking you for your site ID number and contact information. Presumably it keeps track of any bug reports you make.

Other than being extremely primitive, you'll notice that the desktop looks not too much unlike the final Windows 95 release, and certainly much different from Windows 3.1 of the time.
The taskbar isn't totally implemented, but there are now icons on the desktop, and minimized windows now stick to the taskbar area.

      
The first major difference is the presence of three different menus, rather than the single Start menu in the final release.

The first button is a "system" button, containing access to the Task Manager and other core Windows functions.
The second button is a "find" button, containing search features as well as a list of open windows.
The final button is a "help" button, although most of this isn't implemented yet.