ME is essentially 98SE with a prettier face, System Restore added, the installation files copied from the CD during OS install (so you don't have to remember where the CD is next time you install something) and the ability to run in real DOS mode removed. so it's inherently no more or less secure & stable than 98SE.
R-Tools have a free firewall that is supposed to be 98SE compatible though they curiously don't mention ME in the requirements.
http://www.r-firewall.com/You can still get old versions of ZoneAlarm, Kerio, Outpost and others at
www.oldversion.com If the PC is behind a router you probably don't even need a software firewall (controversial I know
)