Was there a version of Windows 95 installation that installed the active desktop and IE 4?

it was Windows 95C, released in 1997

Yes but you had to install it separately after the installation of Windows 95 C. Was there some way to have it installed in the actual installation process of Windows 95 C.

Not in as supported way I think. But win95 setup first extracts all files from the cd to the hdd and then it boots from the hdd and does some installation stuff.
So when it's copied and rebooting, copy all active desktop files to the correct directories and add some reg stuff and then let it continue to boot and install as usual. For win9x that's the closest you can get to real slipstreaming.

No.

It is possible to slipstream Windows 9x. Possible.. but not easy.
See this:
http://www.msfn.org/board/topic/81068-w98-slip-genuine-slipstreaming-for-windows-9x/
I haven't used that particular tool, so I can't vouch for it. The idea (if not the execution) is pretty simple though. All you have to do is break down all of the .CAB files, add/subtract/modify what you want, and then repack the .CAB's. The tricky part is maintaining the "chain" between the .CABs and knowing how to seamlessly integrate your changes into the .INF's, etc.