After doing some reading on couple of the Protege forums, the consensus seems to be that 1995 Protege (actually made in '94, so there can be no way it could be OBD2) is OBD1. Well, that however is not the case with my '95 Protege. With this post i just wanted to let people know that just because your Mazda is 1995, doesn't neccessarily mean it's OBD1.

I've been dreading the day when my car would give me that yellow light. And sure enough, couple of days ago it started doing just that. Dreading, because i always thought it was OBD1, and having OBD1 codes read can be a pain in the butt.
I tried the paperclip trick where you short GND and TEN, but nothing; the CEL would just stay on, but not blink.

I then tried another trick where you bridge GND and TEN, and connect LED lamp to FEN and B+ in the Diagnostics box, but the trouble with that was that, on my car, there is no metal connector in the FEN hole.

I then checked under the steering wheel to see what the plug under there looked like. And mine is a 16 hole plug, which i found out can only be OBD2. I was glad, hoping that, maybe, just maybe, mine is OBD2, but i had read something about hybrids; meaning that some cars made back in '95 had OBD2 connectors, but were still OBD1.

Still unwilling to take my car to a mechanic and pay close to a 100$ for plugging a meter to it, i decided to go to Advance Auto Parts and just give it a try. And yeah, their cable fit my plug just fine and came up with an OBD2 code - P0335(crankshaft position sensor).