I can only think that Win ME must have a problem with Mozilla. I am on Win98SE. Although I don't use Mozilla very much, I have it installed and it hasn't messed up any of my settings.
Incidentally, is there a setting within Mozilla to empty the cache on exit? When I have used Mozilla, I have had to open the cache manually and delete the contents. I'm sure that there must be an easier way, but I can't find one.