I'm not familiar with WinME, but here was my experience with cable (when I had it):
The cable guy put it in, when he was done, I was getting about 58kbaud, just over what my modem could do. I was not a happy camper.
While at work, the solution struck me like a falling apple. I had set my "Maximum Transfer Unit" (MTU) to a fairly low value to accomodate the modem. Upon resetting it (to more than twice it's previous value), my transfer speed jumped... to almost 1.2M

I don't know whether they've eliminated manual MTU adjustments in WinME or not (I run Wi***), but if you've recently upgraded from a modem, it's worth checking out... the higher the MTU, the bigger packets get sent over the wire, which is especially good if the arrival of packets is sporadic but your connection is fast...

Also, the fast people you're downloading from may have their upload speeds throttled to only allow 5kb/s per downloader...