Do you have a pre-installed wireless card on the ME machine? Given the lack of support for many USB devices on Windows 98 and ME then using a wireless dongle can be problematic with these Operating Systems.
Should work connected using a network cable if you have a network port but that may defeat the objective.ME machine would need to be near to the router.
What CD are you loading? Should be necessary on a second PC once router has been set up for your ISP.