only win95, 98 and 98SE unpatched. WinME does not crash, and neither does win98 when patched with appropriate Microsoft security update. Many will not have said update though, and it took them five years to release it too.
Also the exploit only works automatically in IE, the victim must manually type C:/Con/Con in the address bar in other browsers if they want to crash their machine.
Also, i have heard that this exploit has the capability of randomly destroying your filesystem! i haven't seen this myself so have no idea what the odds are of it occurring, but it sounds mucho serious, and M$ themselves do not admit that this can occur.