The problem is with debugging MSC based code. Normal TheIDE ships with MSC++ debugger enabled and it needs Win2000/XP. It is however possible to compile TheIDE without this support - it will support mingw only debugger then.
I will upload this "fixed" theide.exe to sf.net soon.
Other issue of course is that due to stability issues, I cannot imagine using WinME for serious development
Note that this is just the problem of TheIDE (and debugger). Apps should run on anything since Win95.