You might have a virus. go to http://housecall.antivirus.com and run the free scan with auto clean selected. This is a great site. If you do have any viruses it will have directions on how to remove them. Good Luck

Have you been running Windows ME all this time, without running Windows Update?

There was a bug in ME that effectively did not allow you to use System Restore after September of 2001. If you did not get the patch for System Restore, you won't be able to do that, and all restore points might have been deleted. Alternatively, the System Restore patch may have recently been installed. If that's the case, one of the things the patch does in order to fix the issue is that it deletes all of the previous restore points on your computer