Wrong area. This forum is for network security discussions. Albeit, this request has security implications, you are asking for help setting up a network.

What sort of modem?
Do you have an ISP account already, and do they allow you to share you account with multiple computers? (AO journeymen: yes, I know, sounds dumb..Sprint Broadband used to work that way, it was a per-PC fee you paid.)
Do you have multiple network interfaces on one of the computers?
I you *SURE* you want to do this with Windows ME?

/* Edit: Moderators, should this be moved to Newbie Security Questions? */