You might want to check out thread222-514965 as it (very recently) covered a lot of issues and philosophies about installation.
I've never worked with WinME (and from the looks of MSDN, Microsoft has wished it out of existence.) So here's a guess, based on your use of msinet.ocx: try installing Personal Web Server (which is a MS download) on the WinME machine, then reboot and install your program. Based on the info you've given it's what I'd try, but like I said, it's a guess.