Sun's article
Setting The Class Path might help to understand what needs doing. I've never used Windows ME, but according to the article,
you should be able to set the environment variables the same way as with Windows 2000 & XP (with which I am familiar).
Are you able to figure out how to open the System Control Panel in order to edit the environment variables? On the System Control Panl is perhaps a tab labeled 'Advanced'. On that tab is perhaps a button labeled 'Environment Variables'. After pressing that button, a box should appear that allows the editing and creation of environment variables (perhaps at both a 'system' and 'user' level). If an environment variable named 'CLASSPATH' or classpath already exists, just click the 'Edit' button and edit away. If such a variable does not already exist, click the 'New' button and create it.
Any luck?