At this point, you have only two options that I know of. The first is to use the "reset" button on the front of your PC tower. It's usually the smaller one under the power button. Using this button will simply "reboot" the system and may automatically run "scandisk" since you may have experienced an improper shut down. I'd use this as your first option (preferred to the power down). You could also try the CTRL+ALT+DEL to reboot.
The other option is to simply turn off the power (if you can). Wait a few minutes and then power up. Again, scandisck may automatically run. Let it run the full check.
I'd suggest that you go to this site http://support.microsoft.com/default.aspx?scid=kb;en-us;273746 where you will find a lengthy article titled "How To Troubleshoot Windows Me Shutdown Problems".
I run Me on my PC and have had this same problem from time to time. It is usually due to some program which you used during the session, not closing properly. Rebooting usually clears the problem (until next time). I have an old, old version of Adobe 4.0 on my PC and that is the program that causes me grief. Once I view a .pdf file, then close it out, the Adobe program does not close. If I use CTRL+ALT+DEL to bring up the "Close Program" menu, select "Adobe" and close it, then I have no problems for the rest of the session including shutdown. But, if I forget, I may get a error msg telling me that one program is not shutting down and that I have to end it before I may continue, or it just hangs up.