A lot of emulation sites (and other sites that are of questionable legal standing) have to employ extreme measures to keep themselves in business - usually this involves affiliating with an advertising company that also has questionable standards. A lot of advertising companies will try to install malware on your computer using browser loopholes (ActiveX plugins, Firefox extensions etc) in order to target more ads at you. It looks like you picked one up just there. Reboot into Safe Mode - this will bypass any programs that are run on startup, which will probably include the malware that you've picked up - update AVG, and run a scan on all local drives.
Windows ME isn't particularly stable either. These days I usually refuse to support it in my regular job because it's so volatile. I would fully recommend an upgrade to XP Home - a license these days doesn't cost very much (Ł55 or $100) and if more than one person uses your computer, you could split the cost of the license between you if it was still too much. You'll notice immediate improvements, specifically when you realise that you've been using it for a few months and you haven't seen a single blue screen.

It;'s not completely necessary, but I'd strongly recommend it.
Let us know how you get on
