This morning I decided to try to figure it out again, and I found out that it was tugzip's fault all along. Apparently it wasn't extracting that file. (alltext.txt) So once I installed the game, I just had to manually extract that single file to the correct location (where nhl95 was installed) and now it works fine...
So if anyone else has this problem, after you install the game all you have to do if you get the can't find alltext.txt file message, is after you've installed the game just open up tugzip again and extract that one file to your HOCKEY subfolder that should be in your NHL95 folder.