You can go to the Microsoft download page and download the patch manually. Just, when asked, select "open" and the download will install to your computer. You will probably have to restart after the install.
You can read about the Microsoft bulletin on the critical update.

Dell Dimension 4100, 866 MHz Pentium III, 384 MB, Windows ME, IE 6

As a previous poster noted, I'm having numerous problems with the KB891711 patch on my Windows ME system. As soon as I rebooted after its installation I experienced crashes of IE. I've not seen any notes on the Microsoft site about problems. The file does not appear in my Add/Remove programs list, though it does appear to be in the Start-Up list where I could disable it until these problems are acknowledged and fixed. Any other ideas?

I gave up on KB891711. It would consistently lock up my PC. (1.5 year old Dell Dimension 8200 with XP).  As a matter of fact, I've disabled windows update.  The last few months, I've been having problems installing windows updates.  It all started with SP2 about 6 months ago.  I've tried everything to install it.  I even tried from the CD.  Swept for viruses, spyware, etc.... blah  blah  blah.  NOthing has worked and ever since windows updates are 50/50 as to whether or not they'll install and not do any damage (locking up, slow down system, ...)

This it what it does:

http://www.microsoft.com/technet/security/bulletin/MS05-002.mspx

For Windows XP SP1 it updates two files: user32.dll and win32k.sys.

As to why: click on vulnerability details in the general information section of that page. 

See:   http://www.microsoft.com/technet/security/bulletin/MS05-002.mspx

I found this post, re this update on W98:

http://reviews.cnet.com/5208-6132-0.html?forumID=32&threadID=91523&messageID=1034555

Here is a post I got from CNET on this problem. I haven't tried it yet but sounds easy to try. Hope the info is good but until this problem gets resolved by MS this seems worth the try and still seems to keep the vulnerability issue at bay.

"I have windows 98se I installed the updates and had a problem with my computer rebooting to windows, I used goback to revert back to and hour before the install. then reinstalled the second update fist, had the same problem, used goback again, then reinstalled the first update and no problem, I called Microsoft at this number free security call, 1-866-pcsafety
1-866-72723389
I told the person what was happening,they told me to installed the updates and then go into safe mode and then when computer is up and running go to msconfig and uncheck the box with this number KB891711, they said you don't need it running in the task bar, and the security will still work."