If you want to browse the internet, using windows ME pc... did you have to turn on your windows XP PC?

I don't know why you do it that way, but many people will connect the Cable modem to the Router, then the pc's go to the router port. This way you don't have to use Internet connection sharing (and turning on other pc)

As for your problem, it can be the firewall or your internet connection sharing conflicting configuration.