Can I use my phone's internet to download files in a Win95 VM in Limbo emulator?
I don't think Limbo supports this. Limbo's networking support uses user-mode support inside the guest operating system, and since Windows 95 is not an OS they have explicit support for, they won't provide drivers for it.

Instead, download the songs you want from your phone or another computer, and copy them into the .img before starting the VM.